Rare-event analysis for extremal eigenvalues of white Wishart matrices
白 Wishart 矩阵极端特征值的稀有事件分析
In this paper, we consider the extreme behavior of the extremal eigenvalues of white Wishart matrices, which plays an important role in multivariate analysis. In particular, we focus on the case when the dimension of the feature $p$ is much larger than or comparable to the number of observations $n$, a common situation in modern data analysis. We provide asymptotic approximations and bounds for the tail probabilities of the extremal eigenvalues. Moreover, we construct…