Sample Covariance Matrices and the Marčenko-Pastur Law

  • Zhidong Bai
  • Jack W. Silverstein
Part of the Springer Series in Statistics book series (SSS)


The sample covariance matrix is a most important random matrix in multivariate statistical inference. It is fundamental in hypothesis testing, principal component analysis, factor analysis, and discrimination analysis. Many test statistics are defined by its eigenvalues.


Characteristic Sequence Sample Covariance Single Edge Sample Covariance Matrix Sample Covariance Matrice 
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Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  1. 1.School of Mathematics and Statistics KLAS MOE Northeast Normal UniversityChangchunChina
  2. 2.Department of Statistics and Applied ProbabilityNational University of SingaporeSingaporeSingapore
  3. 3.Department of MathematicsNorth Carolina State UniversityRaleighUS

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