Recent Results About the Largest Eigenvalue of Random Covariance Matrices and Statistical Application
Noureddine El Karoui · 2005
This note is a short review of recent results concerning the fluctuation behavior of the largest eigenvalue of a class of random covariance matrices. We also present a concrete application of these results to a model checking problem in time series analysis to highlight their practical relevance. PACS numbers: 02.50.–r 1.