- Record: found
- Abstract: found
- Article: found
On the overestimation of the largest eigenvalue of a covariance matrix
Preprint
11 August 2017
Read this article at
There is no author summary for this article yet. Authors can add summaries to their articles on ScienceOpen to make them more accessible to a non-specialist audience.
Abstract
In this paper, we use a new approach to prove that the largest eigenvalue of the sample covariance matrix of a normally distributed vector is bigger than the true largest eigenvalue with probability 1 when the dimension is infinite. We prove a similar result for the smallest eigenvalue.
Related collections
Author and article information
Journal
11
August
2017
Article
1708.03551
http://arxiv.org/licenses/nonexclusive-distrib/1.0/
Custom metadata
15 pages, 1 figure
math.PR math.ST q-fin.MF stat.TH