SOME APPLICATIONS OF WATSONS PERTURBATION APPROACH TO RANDOM MATRICES

Authors
RUYMGAART FH YANG S
Citation
Fh. Ruymgaart et S. Yang, SOME APPLICATIONS OF WATSONS PERTURBATION APPROACH TO RANDOM MATRICES, Journal of Multivariate Analysis, 60(1), 1997, pp. 48-60
Citations number
13
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Journal of Multivariate Analysis → ACNP
ISSN journal
0047259X
Volume
60
Issue
1
Year of publication
1997
Pages
48 - 60
Database
ISI
SICI code
0047-259X(1997)60:1<48:SAOWPA>2.0.ZU;2-I
Abstract
In this note we draw attention to Watson's (1983) perturbation approac h to random matrices, by which the asymptotic distribution of eigenval ues and eigenvectors can be derived in a very elegant way. We extend h is result to functions of matrices and give some applications in princ ipal component analysis, multivariate analysis, and canonical correlat ions. (C) 1997 Academic Press.