Asymptotics of empirical eigenstructure for high dimensional spiked covariance

Keyphrases

• Principal Coordinate Analysis (PCoA) 100%
• Statist 100%
• Leading Eigenvalue 100%
• Spiked Eigenvalues 100%
• Spiked Covariance Model 100%
• Eigenstructure 100%
• Asymptotic Regimes 50%
• Convergence Rate 50%
• Simulation Study 50%
• Large Portfolio 50%
• Eigenvector 50%
• High Dimension 50%
• Leading Eigenvector 50%
• Asymptotic Distribution 50%
• Risk Estimation 50%
• Covariance Estimation 50%
• Approximate Factor Model 50%
• False Discovery Proportion 50%
• Convergence Problem 50%
• Orthogonal Complement 50%
• Diverging Eigenvalues 50%
• Dependent Tests 50%

Mathematics

• Asymptotics 100%
• Covariance 100%
• Eigenvalue 100%
• Eigenvector 40%
• Principal Component Analysis 40%
• Approximates 20%
• Simulation Study 20%
• Test Statistic 20%
• Asymptotic Distribution 20%
• Thresholding 20%
• Orthogonal Complement 20%
• Convergence Problem 20%

Economics, Econometrics and Finance

• Principal Components 100%
• Factor Model 50%