×

Lower bounds on the smallest eigenvalue of a sample covariance matrix. (English) Zbl 1320.60023

Summary: We provide tight lower bounds on the smallest eigenvalue of a sample covariance matrix of a centred isotropic random vector under weak or no assumptions on its components.

MSC:

60B20 Random matrices (probabilistic aspects)
PDFBibTeX XMLCite
Full Text: DOI arXiv