Principal components of spiked covariance matrices in the supercritical regime

07/29/2019

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by   Zhigang Bao, et al.

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In this paper, we study the asymptotic behavior of the extreme eigenvalues and eigenvectors of the spiked covariance matrices, in the supercritical regime. Specifically, we derive the joint distribution of the extreme eigenvalues and the generalized components of their associated eigenvectors in this regime.