On the Tracy-Widom approximation of studentized extreme eigenvalues of Wishart matrices.
Rohit S. DeoPublished in: J. Multivar. Anal. (2016)
Keyphrases
- positive definite
- covariance matrix
- gram matrix
- singular value decomposition
- eigenvalues and eigenvectors
- symmetric matrices
- eigendecomposition
- singular values
- covariance matrices
- correlation matrix
- approximation error
- low rank approximation
- kernel function
- kernel matrix
- relative error
- closed form
- approximation algorithms
- projection matrix
- error bounds
- symmetric matrix