The Smallest Eigenvalue of a Large Dimensional Wishart Matrix

Jack W. Silverstein
1985 Annals of Probability  
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