Fh. Ruymgaart et S. Yang, SOME APPLICATIONS OF WATSONS PERTURBATION APPROACH TO RANDOM MATRICES, Journal of Multivariate Analysis, 60(1), 1997, pp. 48-60
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.