On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
| ISSN: |
1432-2064
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| Source: |
Springer Online Journal Archives 1860-2000
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| Topics: |
Mathematics
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| Notes: |
Summary In this paper the authors show that the largest eigenvalue of the sample covariance matrix tends to a limit under certain conditions when both the number of variables and the sample size tend to infinity. The above result is proved under the mild restriction that the fourth moment of the elements of the sample sums of squares and cross products (SP) matrix exist.
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| Type of Medium: |
Electronic Resource
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| URL: |