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2014

On the principal components of sample covariance matrices

Bloemendal, Alex, Knowles, Antti, Yau, Horng-Tzer et al.

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We introduce a class of $M \times M$ sample covariance matrices $\mathcal Q$ which subsumes and generalizes several previous models.

The associated population covariance matrix $\Sigma = \mathbb E \cal Q$ is assumed to differ from the identity by a matrix of bounded rank.
All quantities except the rank of $\Sigma - I_M$ may depend on $M$ in an arbitrary fashion.
We investigate the principal components, i.e.\ the top eigenvalues and eigenvectors, of $\mathcal Q$.

On the principal components of sample covariance matrices · Around

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