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20142026
most citedIdentifying the number of factors from singular values of a large sample auto-covariance matrix

42 citations · 65 across the 12 of their papers we have counts for

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math.ST2026

On Eigenvector Statistics of Large-Dimensional Sample Covariance Matrices with Applications

Weiming Li, Zeng Li, Qinwen Wang

We study the eigenvector-weighted spectral statistics \[ T_n(φ,g)=p^{-1}tr\{φ(\boldsymbol{S}_n)g(\boldsymbolΣ)\} \] of large-dimensional sample covariance matrices \(\boldsymbol{S}…