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2014 Lower bounds on the smallest eigenvalue of a sample covariance matrix.
Pavel Yaskov
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Electron. Commun. Probab. 19: 1-10 (2014). DOI: 10.1214/ECP.v19-3807

Abstract

We provide tight lower bounds on the smallest eigenvalue of a sample covariance matrix of a centred isotropic random vector under weak or no assumptions on its components.

Citation

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Pavel Yaskov. "Lower bounds on the smallest eigenvalue of a sample covariance matrix.." Electron. Commun. Probab. 19 1 - 10, 2014. https://doi.org/10.1214/ECP.v19-3807

Information

Accepted: 6 December 2014; Published: 2014
First available in Project Euclid: 7 June 2016

zbMATH: 1320.60023
MathSciNet: MR3291620
Digital Object Identifier: 10.1214/ECP.v19-3807

Subjects:
Primary: 60B20

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