Asymptotic Joint Distribution of Extreme Sample Eigenvalues and Eigenvectors in the Spiked Population Model

Dai Shi

In this paper, we consider a data matrix $X_N\in {\mathbb{R}}^{N\times p}$ where all the rows are i.i.d. samples in ${\mathbb{R}}^p$ of mean zero and covariance matrix $Σ\in\mathbb{R}^{…