Convergence of Sample Eigenvectors of Spiked Population Model

Abstract

In this paper, for the general non Gaussian spiked population model, where a few fixed eigenvalues of the population covariance matrix are separated from others, we investigate the convergence properties of the eigenvectors of sample covariance matrices corresponding to the spiked population eigenvalues and angle between the population eigenvectors and sample eigenvectors as both the sample size and population size are large.

Keywords:

• Sample covariance matrices
• Sample eigenvectors
• Spiked population model

Mathematics Subject Classification:

• 15A52
• 60F05
• 60F15