Eigenvectors of some large sample covariance matrix ensembles

Probability Theory and Related Fields

Volumn 151, Issue 1, 2011, Pages 233-264

  Ledoit, Olivier ^a   Péché, Sandrine ^b  

^a UNIVERSITY OF ZURICH   (Switzerland)

^b INSTITUT FOURIER   (France)

Author keywords

Asymptotic distribution; Bias correction; Eigenvectors and eigenvalues; Principal component analysis; Random matrix theory; Sample covariance matrix; Shrinkage estimator; Stieltjes transform

Indexed keywords

EID: 80052806822     PISSN: 01788051     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00440-010-0298-3     Document Type: Article

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