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math.ST2024
Asymptotic locations of bounded and unbounded eigenvalues of sample correlation matrices of certain factor models -- application to a components retention rule
Yohji Akama, Peng Tian
Let the dimension of data and the sample size tend to with . The spectral properties of a sample correlation matrix and a sample covari…
math.ST2022★ 1 cited
Correlation matrix of equi-correlated normal population: fluctuation of the largest eigenvalue, scaling of the bulk eigenvalues, and stock market
Yohji Akama
Given an -dimensional sample of size and form a sample correlation matrix . Suppose that and tend to infinity with converging to a fixed finite co…
math.ST2022
A dichotomous behavior of Guttman-Kaiser criterion from equi-correlated normal population
Yohji Akama, Atina Husnaqilati
We consider a -dimensional, centered normal population such that all variables have a positive variance and any correlation coefficient between different variables is a gi…