Journal
JOURNAL OF MULTIVARIATE ANALYSIS
Volume 97, Issue 6, Pages 1382-1408Publisher
ELSEVIER INC
DOI: 10.1016/j.jmva.2005.08.003
Keywords
eigenvalues; sample covariance matrices; spiked population models; almost sure limits; non-null case
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We consider a spiked population model, proposed by Johnstone, in which all the population eigen-values are one except for a few fixed eigenvalues. The question is to determine how the sample eigenvalues depend on the non-unit population ones when both sample size and population size become large. This paper completely determines the almost sure limits of the sample eigenvalues in a spiked model for a general class of samples. (c) 2005 Elsevier Inc. All rights reserved.
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