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The Smallest Eigenvalue of a Large Dimensional Wishart Matrix

1985
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Annals of Probability
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Introduction • Let s = 1, 2, ... and let n = n(s) be a positive integer such that n/s ö y > 0 as s ö ¶ • Let V s be the matrix whose entries are i.i.d. N(0, 1) random variables and let M s = (1/s)V s V s T • The matrix V s V s T is referred to as the Wishart matrix W(I n , s) 3/23

doi:10.1214/aop/1176992819
fatcat:ds4dwpqgzjeavh2akgg2doardm