1-2 of 2
Keywords: Tracy–Widom law
Save search
Sort by
Journal Article

Maximum Likelihood Estimation for Linear Gaussian Covariance Models

PDF
Piotr Zwiernik and others
Journal of the Royal Statistical Society Series B: Statistical Methodology, Volume 79, Issue 4, September 2017, Pages 1269–1292, https://doi.org/10.1111/rssb.12217
Published: 03 November 2016
... of random matrices Linear Gaussian covariance model Tracy–Widom law Wishart distribution European Union seventh framework programme PIOF-GA-2011-300975 Austrian Science Fund 10.13039/501100002428 903-N35 US National Science Foundation 10.13039/100000001 DMS-1309808 German...
Chapter

Multivariate statistics Get access

Noureddine El Karoui
in The Oxford Handbook of Random Matrix Theory
Published: 08 August 2018
..., principal components analysis (PCA) and canonical correlation analysis (CCA), before discussing the Wishart distribution and normal theory. It then describes extreme eigenvalues and Tracy–Widom laws, taking into account the results obtained in the asymptotic setting of ‘large p, large n’. It also analyses...