13 citations · 25 across the 2 of their papers we have counts for
4 papers
On the principal components of sample covariance matrices
Alex Bloemendal, Antti Knowles, Horng-Tzer Yau +1
We introduce a class of sample covariance matrices which subsumes and generalizes several previous models. The associated population covariance matrix $Σ=…
Isotropic Local Laws for Sample Covariance and Generalized Wigner Matrices
Alex Bloemendal, Laszlo Erdos, Antti Knowles +2
We consider sample covariance matrices of the form , where is an matrix with independent random entries. We prove the isotropic local Marchenko-Pastur law, i…
Limits of spiked random matrices II
Alex Bloemendal, Bálint Virág
The top eigenvalues of rank spiked real Wishart matrices and additively perturbed Gaussian orthogonal ensembles are known to exhibit a phase transition in the large size limit.…
Limits of spiked random matrices I
Alex Bloemendal, Bálint Virág
Given a large, high-dimensional sample from a spiked population, the top sample covariance eigenvalue is known to exhibit a phase transition. We show that the largest eigenvalues h…