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Large deviations of extremal eigenvalues of sample covariance matrices
Published online by Cambridge University Press: 24 April 2023
Abstract
Large deviations of the largest and smallest eigenvalues of $\mathbf{X}\mathbf{X}^\top/n$ are studied in this note, where $\mathbf{X}_{p\times n}$ is a $p\times n$ random matrix with independent and identically distributed (i.i.d.) sub-Gaussian entries. The assumption imposed on the dimension size p and the sample size n is $p=p(n)\rightarrow\infty$ with $p(n)={\mathrm{o}}(n)$. This study generalizes one result obtained in [3].
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- © The Author(s), 2023. Published by Cambridge University Press on behalf of Applied Probability Trust