Fetching the paper…
Reading the bibliography…
We study the joint limit distribution of the $k$ largest eigenvalues of a $p\times p$ sample covariance matrix $XX^\T$ based on a large $p\times n$ matrix $X$.
Ann. of Math. (2) 67
Wigner, E.P.: On the distribution of the roots of certain symmetric matrices · 1958
Earlier work this paper cites.
J. Mathematical Phys. 3
Dyson, F.J.: Statistical theory of the energy levels of complex systems. I · 1962
Earlier work this paper cites.
Ann. Math. Statist. 34
Anderson, T.W.: Asymptotic theory for principal component analysis · 1963
Earlier work this paper cites.
Ann. Math. Statist. 35
James, A.T.: Distributions of matrix variates and latent roots derived from normal samples · 1964
Earlier work this paper cites.
Mat. Sb. (N.S.) 72 (114)
Marčenko, V.A., Pastur, L.A.: Distribution of eigenvalues in certain sets of random matrices · 1967
Earlier work this paper cites.
Sankhyā Ser. A 30
Heyde, C.C.: On large deviation probabilities in the case of attraction to a non-normal stable law · 1968
Earlier work this paper cites.
Ann. Probability 6
Wachter, K.W.: The strong limits of random matrix spectra for sample matrices of independent elements · 1978
Earlier work this paper cites.
J. Austral. Math. Soc. Ser. A 29
Embrechts, P., Goldie, C.M.: On closure and factorization properties of subexponential and related distributions · 1980
Earlier work this paper cites.
Ann. Probab. 8
Geman, S.: A limit theorem for the norm of random matrices · 1980
Earlier work this paper cites.
Akademie-Verlag, Berlin (1983)
Kallenberg, O.: Random measures, third edn · 1983
Earlier work this paper cites.
Ann. Probab. 13
Davis, R.A., Resnick, S.I.: Limit theory for moving averages of random variables with regularly varying tail probabilities · 1985
Earlier work this paper cites.
Springer Series in Operations Research and Financial Engineering. Springer, New York (2008)
Resnick, S.I.: Extreme values, regular variation and point processes · 1987
Earlier work this paper cites.
Springer Series in Statistics. Springer-Verlag, New York (1991)
Brockwell, P.J., Davis, R.A.: Time series: theory and methods, second edn · 1991
Cited alongside, same era.
Oxford University Press, New York (1993)
Longford, N.T.: Random coefficient models, Oxford Statistical Science Series , vol. 11 · 1993
Cited alongside, same era.
Comm. Math. Phys. 159
Tracy, C.A., Widom, H.: Level-spacing distributions and the Airy kernel · 1994
Cited alongside, same era.
The Annals of Probability 23
Davis, R., Hsing, T.: Point process and partial sum convergence for weakly dependent random variables with infinite variance · 1995
Cited alongside, same era.
Springer-Verlag, New York (1997)
Bhatia, R.: Matrix analysis, Graduate Texts in Mathematics , vol. 169 · 1997
Cited alongside, same era.
Wiley Series in Probability and Statistics: Probability and Statistics. John Wiley & Sons Inc., New York (1999)
Billingsley, P.: Convergence of probability measures, second edn · 1999
Ann. Statist. 36
El Karoui, N.: Spectrum estimation for large dimensional covariance matrices using random matrix theory · 2008
Later among the works it cites.
Ann. Inst. Henri Poincaré Probab. Stat. 45
Auffinger, A., Ben Arous, G., Péché, S.: Poisson convergence for the largest eigenvalues of heavy tailed random matrices · 2009
Later among the works it cites.
Ann. Statist. 37
Bai, Z., Jiang, D., Yao, J.F., Zheng, S.: Corrections to LRT on large-dimensional covariance matrix by RMT · 2009
Later among the works it cites.
Comm. Math. Phys. 289
Belinschi, S., Dembo, A., Guionnet, A.: Spectral measure of heavy tailed band and covariance random matrices · 2009
Later among the works it cites.
Cambridge University Press, Cambridge (2009)
Meyn, S., Tweedie, R.L.: Markov chains and stochastic stability, second edn · 2009
Later among the works it cites.
Probab. Theory Related Fields 143
Péché, S.: Universality results for the largest eigenvalues of some sample covariance matrix ensembles · 2009
Later among the works it cites.
alphaXiv searches the wider corpus for related work and actual follow-ups.
alphaXiv is searching for related work…
Cited alongside, same era.
Ann. Statist. 29
Johnstone, I.M.: On the distribution of the largest eigenvalue in principal components analysis · 2001
Cited alongside, same era.
J. Statist. Phys. 108
Soshnikov, A.: A note on universality of the distribution of the largest eigenvalues in certain sample covariance matrices · 2002
Cited alongside, same era.
Elsevier/Academic Press, Amsterdam (2004)
Mehta, M.L.: Random matrices, Pure and Applied Mathematics (Amsterdam) , vol. 142, third edn · 2004
Cited alongside, same era.
In: Mathematical physics of quantum mechanics, Lecture Notes in Phys. , vol. 690, pp. 351–364. Springer, Berlin (2006)
Soshnikov, A.: Poisson statistics for the largest eigenvalues in random matrix ensembles · 2006
Cited alongside, same era.
Europhys. Lett. EPL 78
Biroli, G., Bouchaud, J.P., Potters, M.: On the top eigenvalue of heavy-tailed random matrices · 2007
Cited alongside, same era.
http://arxiv.org/abs/1011.1877
Bloemendal, A., Virág, B.: Limits of spiked random matrices I
Cited in the paper.
Cambridge University Press, Cambridge (2010)
Anderson, G.W., Guionnet, A., Zeitouni, O.: An introduction to random matrices, Cambridge Studies in Advanced Mathematics , vol. 118 · 2010
Later among the works it cites.
Springer Series in Statistics. Springer, New York (2010)
Bai, Z., Silverstein, J.W.: Spectral analysis of large dimensional random matrices, second edn · 2010
Later among the works it cites.
J. Multivariate Anal. 101
Pan, G.: Strong convergence of the empirical distribution of eigenvalues of sample covariance matrices with a perturbation matrix · 2010
Later among the works it cites.
Probab. Math. Statist. 31 (2)
Pfaffel, O., Schlemm, E.: Eigenvalue distribution of large sample covariance matrices of linear processes · 2011
Closest in time.
The Annals of Probability 40
Tao, T., Vu, V.: Random covariance matrices: Universality of local statistics of eigenvalues · 2012
Closest in time.