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On the eigenvectors of large dimensional sample covariance matrices

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  • Silverstein, Jack W.
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    Abstract

    Let {vij}, i, J = 1,2, ..., be i.i.d. random variables, and for each n let Mn = (1/s)VnVnT, where Vn = (vij), i = 1, 2, ..., n, j = 1, 2, ..., s = s(n), and n/s --> y > 0 as n --> [infinity]. Necessary and sufficient conditions are given to establish the convergence in distribution of certain random variables defined by Mn. When E(v114)

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 30 (1989)
    Issue (Month): 1 (July)
    Pages: 1-16

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    Handle: RePEc:eee:jmvana:v:30:y:1989:i:1:p:1-16

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    Related research

    Keywords: behavior of eigenvectors Brownian bridge convergence in distribution;

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    Cited by:
    1. Hyungsik Roger Moon & Martin Weidner, 2013. "Linear regression for panel with unknown number of factors as interactive fixed effects," CeMMAP working papers CWP49/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Hyungsik Roger Moon & Martin Weidner, 2013. "Dynamic linear panel regression models with interactive fixed effects," CeMMAP working papers CWP63/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    3. Olivier Ledoit & Sandrine Péché, 2009. "Eigenvectors of some large sample covariance matrices ensembles," IEW - Working Papers 407, Institute for Empirical Research in Economics - University of Zurich.

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