Estimating eigenvectors and eigenspaces of covariance matrices: Optimal Bounds and Conditions for Consistency

Phuc Tran, Van Vu

Let $X=[{\xi }_1,{\xi }_2,...,{\xi }_d{]}^{\top }$ be a zero-mean random vector of large dimension $d$ ($d\to \infty$) with (hidden) covariance matrix $M = (m_{ij})_{1 \leq i, j…