Tracy-Widom statistic for the largest eigenvalue of autoscaled real matrices

Journal of Chemometrics

Volumn 25, Issue 12, 2011, Pages 644-652

  Saccenti, Edoardo ^a,c   Smilde, Age K ^a,c   Westerhuis, Johan A ^a,c   Hendriks, Margriet M W B ^b,c  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

^b UNIVERSITY MEDICAL CENTER UTRECHT   (Netherlands)

^c NETHERLANDS METABOLOMICS CENTRE   (Netherlands)

Author keywords

Autoscaling; Covariance matrix; Eigenanalysis; Largest eigenvalue; Tracy Widom distribution

Indexed keywords

EIGENVALUES AND EIGENFUNCTIONS;

AUTOSCALING; COVARIANCE MATRICES; DATA MATRIX; DATA SET; EIGEN ANALYSIS; LARGEST EIGENVALUES; NORMALIZING PARAMETERS; RANDOM COVARIANCE MATRIXES; REAL MATRICES; TRACY-WIDOM DISTRIBUTION;

COVARIANCE MATRIX;

EID: 84655163940     PISSN: 08869383     EISSN: 1099128X     Source Type: Journal    
DOI: 10.1002/cem.1411     Document Type: Article

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