3 papers
math.ST2018
Notes on asymptotics of sample eigenstructure for spiked covariance models with non-Gaussian data
Iain M. Johnstone, Jeha Yang
These expository notes serve as a reference for an accompanying post Morales-Jimenez et al. [2018]. In the spiked covariance model, we develop results on asymptotic normality of sa…
math.ST2018
Asymptotics of eigenstructure of sample correlation matrices for high-dimensional spiked models
David Morales-Jimenez, Iain M. Johnstone, Matthew R. McKay +1
Sample correlation matrices are employed ubiquitously in statistics. However, quite surprisingly, little is known about their asymptotic spectral properties for high-dimensional da…
math.ST2017
Edgeworth correction for the largest eigenvalue in a spiked PCA model
Jeha Yang, Iain M. Johnstone
We study improved approximations to the distribution of the largest eigenvalue of the sample covariance matrix of zero-mean Gaussian observations in dimension $p+1…