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Comments on a result of Yin, Bai, and Krishnaiah for large dimensional multivariate F matrices

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  • Silverstein, Jack W.

Abstract

A theorem in [1] shows that the smallest eigenvalue of a class of large dimensional sample covariance matrices stays almost surely bounded away from zero. The theorem assumes a certain restriction on the class of matrices. With slight modifications of the proof in op cit, it is shown here that the theorem is true for all relevant matrices.

Suggested Citation

  • Silverstein, Jack W., 1984. "Comments on a result of Yin, Bai, and Krishnaiah for large dimensional multivariate F matrices," Journal of Multivariate Analysis, Elsevier, vol. 15(3), pages 408-409, December.
    • Handle: RePEc:eee:jmvana:v:15:y:1984:i:3:p:408-409
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    Cited by:

    1. Bai, Zhidong & Silverstein, Jack W., 2022. "A tribute to P.R. Krishnaiah," Journal of Multivariate Analysis, Elsevier, vol. 188(C).

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