We study the asymptotic distributions of the spiked eigenvalues and the largest nonspiked eigenvalue of the sample covariance matrix under a general covariance model with divergent spiked eigenvalues, ...
Let ${\mathrm{Z}}_{{\mathrm{M}}_{1}\times \mathrm{N}}={\mathrm{T}}^{\frac{1}{2}}\mathrm{X}$ where (T½)2 = T is a positive definite matrix and X consists of ...
Random Matrix Theory (RMT) has emerged as a potent framework to characterise the statistical properties of eigenvalues in large complex systems, bridging disciplines from quantum physics to number ...
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