Open Access
July, 1993 Limit of the Smallest Eigenvalue of a Large Dimensional Sample Covariance Matrix
Z. D. Bai, Y. Q. Yin
Ann. Probab. 21(3): 1275-1294 (July, 1993). DOI: 10.1214/aop/1176989118
Abstract

In this paper, the authors show that the smallest (if $p \leq n$) or the $(p - n + 1)$-th smallest (if $p > n$) eigenvalue of a sample covariance matrix of the form $(1/n)XX'$ tends almost surely to the limit $(1 - \sqrt y)^2$ as $n \rightarrow \infty$ and $p/n \rightarrow y \in (0,\infty)$, where $X$ is a $p \times n$ matrix with iid entries with mean zero, variance 1 and fourth moment finite. Also, as a by-product, it is shown that the almost sure limit of the largest eigenvalue is $(1 + \sqrt y)^2$, a known result obtained by Yin, Bai and Krishnaiah. The present approach gives a unified treatment for both the extreme eigenvalues of large sample covariance matrices.

Copyright © 1993 Institute of Mathematical Statistics
Z. D. Bai and Y. Q. Yin "Limit of the Smallest Eigenvalue of a Large Dimensional Sample Covariance Matrix," The Annals of Probability 21(3), 1275-1294, (July, 1993). https://doi.org/10.1214/aop/1176989118
Published: July, 1993
Vol.21 • No. 3 • July, 1993
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