Evaluation for Eigenvalue Distribution Approximation of Large Matrices

Abstract

In this paper, we consider large matrix which is almost dominated by randomness, but also contains small amount of important information. For the improvement of approximation of eigenvalue distribution of Gram matrix of Bi-correlated model, the aim of this paper is to propose evaluation methods for the approximation. This will be used for the next step of the model improvement of the matrices and its application to detailed analysis of principal component analysis.