On singular value distribution of large dimensional data matrices whose columns have different correlations

Yanqing Yin

Suppose ${\mathbf{Y}}_n=({\mathbf{y}}_1,\cdots ,{\mathbf{y}}_n)$ is a $p\times n$ data matrix whose columns ${\mathbf{y}}_j,1\le j\le n$ have different correlations. The asymptotic spectral…