Chunk #74 — Results — An Estimate for the Data Size Needed for Significance

Source

Population structure and eigenanalysis.

Embedded

yes

Text

Let l 1 be the lead eigenvalue of the theoretical covariance matrix, with the remainder of the eigenvalues 1. Set γ 2 = n/m. Let L 1 be the largest eigenvalue of the sample covariance. We will let n, m become large with the ratio n/m tending to a limit.