Abstract
A reflexive generalized inverse and the Moore-Penrose inverse are often confused in statistical literature but in fact they have completely different behaviour in case the population covariance matrix is not a multiple of identity. In this paper, we study the spectral properties of a reflexive generalized inverse and of the Moore-Penrose inverse of the sample covariance matrix. The obtained results are used to assess the difference in the asymptotic behaviour of their eigenvalues.
| Original language | English |
|---|---|
| Title of host publication | Recent Developments in Multivariate and Random Matrix Analysis |
| Subtitle of host publication | Festschrift in Honour of Dietrich von Rosen |
| Editors | Thomas Holgersson, Martin Singull |
| Place of Publication | Cham |
| Publisher | Springer |
| Pages | 1-16 |
| Number of pages | 16 |
| ISBN (Electronic) | 978-3-030-56773-6 |
| ISBN (Print) | 978-3-030-56772-9 |
| DOIs | |
| Publication status | Published - 2020 |
Bibliographical note
Green Open Access added to TU Delft Institutional Repository ‘You share, we take care!’ – Taverne project https://www.openaccess.nl/en/you-share-we-take-careOtherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.