Article ID Journal Published Year Pages File Type
1146915 Journal of Multivariate Analysis 2006 27 Pages PDF
Abstract

We consider a spiked population model, proposed by Johnstone, in which all the population eigenvalues 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.

Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis