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math.ST2014★ 1 cited
Local Asymptotic Normality of the spectrum of high-dimensional spiked F-ratios
Prathapasinghe Dharmawansa, Iain M. Johnstone, Alexei Onatski
We consider two types of spiked multivariate F distributions: a scaled distribution with the scale matrix equal to a rank-one perturbation of the identity, and a distribution with…
math.ST2014★ 1 cited
Joint density of eigenvalues in spiked multivariate models
Prathapasinghe Dharmawansa, Iain M. Johnstone
The classical methods of multivariate analysis are based on the eigenvalues of one or two sample covariance matrices. In many applications of these methods, for example to high dim…