Bai, Zhidong; Yao, Jianfeng - In: Journal of Multivariate Analysis 106 (2012) C, pp. 167-177
In the spiked population model introduced by Johnstone (2001) [11], the population covariance matrix has all its eigenvalues equal to unit except for a few fixed eigenvalues (spikes). The question is to quantify the effect of the perturbation caused by the spike eigenvalues. Baik and Silverstein...