Distribution of eigenvalues and eigenvectors of Wishart matrix when the population eigenvalues are infinitely dispersed

@inproceedings{Takemura2002DistributionOE,
title={Distribution of eigenvalues and eigenvectors of Wishart matrix when the population eigenvalues are infinitely dispersed},
author={Akimichi Takemura},
year={2002}
}

We consider the asymptotic joint distribution of the eigenvalues and eigenvectors of Wishart matrix when the population eigenvalues become infinitely dispersed. We show that the normalized sample eigenvalues and the relevant elements of the sample eigenvectors are asymptotically all mutually independently distributed. The limiting distributions of the normalized sample eigenvalues are chi-squared distributions with varying degrees of freedom and the distribution of the relevant elements of the… CONTINUE READING

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