On the Tracy–Widom approximation of studentized extreme eigenvalues of Wishart matrices
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DOI: 10.1016/j.jmva.2016.01.010
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References listed on IDEAS
- Nadler, Boaz, 2011. "On the distribution of the ratio of the largest eigenvalue to the trace of a Wishart matrix," Journal of Multivariate Analysis, Elsevier, vol. 102(2), pages 363-371, February.
- Baik, Jinho & Silverstein, Jack W., 2006. "Eigenvalues of large sample covariance matrices of spiked population models," Journal of Multivariate Analysis, Elsevier, vol. 97(6), pages 1382-1408, July.
- Alexei Onatski, 2009. "Testing Hypotheses About the Number of Factors in Large Factor Models," Econometrica, Econometric Society, vol. 77(5), pages 1447-1479, September.
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Keywords
Tracy–Widom; Wishart matrix; Ratio of largest eigenvalue to trace; Sphericity;All these keywords.
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