Displaying similar documents to “Method of Ritz for random eigenvalue problems”

Central limit theorems for eigenvalues in a spiked population model

Zhidong Bai, Jian-Feng Yao (2008)

Annales de l'I.H.P. Probabilités et statistiques

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In a spiked population model, the population covariance matrix has all its eigenvalues equal to units except for a few fixed eigenvalues (spikes). This model is proposed by Johnstone to cope with empirical findings on various data sets. The question is to quantify the effect of the perturbation caused by the spike eigenvalues. A recent work by Baik and Silverstein establishes the almost sure limits of the extreme sample eigenvalues associated to the spike eigenvalues when the population...

Asymptotic normality of eigenvalues of random ordinary differential operators

Martin Hála (1991)

Applications of Mathematics

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Boundary value problems for ordinary differential equations with random coefficients are dealt with. The coefficients are assumed to be Gaussian vectorial stationary processes multiplied by intensity functions and converging to the white noise process. A theorem on the limit distribution of the random eigenvalues is presented together with applications in mechanics and dynamics.

Asymptotic study of canonical correlation analysis: from matrix and analytic approach to operator and tensor approach.

Jeanne Fine (2003)

SORT

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Asymptotic study of canonical correlation analysis gives the opportunity to present the different steps of an asymptotic study and to show the interest of an operator and tensor approach of multidimensional asymptotic statistics rather than the classical, matrix and analytic approach. Using the last approach, Anderson (1999) assumes the random vectors to have a normal distribution and the non zero canonical correlation coefficients to be distinct. The new approach we use, Fine (2000),...