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Electron. Commun. Probab., 2014, Volume 19, 083, 10 pages (Mi ecp3)  

Lower bounds on the smallest eigenvalue of a sample covariance matrix

P. Yaskov

Steklov Mathematical Institute of RAS, Russia

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.

Funding Agency Grant Number
Russian Science Foundation 14-21-00162
Supported by RNF grant 14-21-00162 from the Russian Scientific Fund.


DOI: https://doi.org/10.1214/ECP.v19-3807


Bibliographic databases:

Document Type: Article
MSC: 60B20
Received: 17.04.2014
Accepted:02.12.2014
Language: English

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