Phase Transition for the Smallest Eigenvalue of Covariance Matrices

Explore a one-hour lecture on the phase transition of the smallest eigenvalue in covariance matrices, delivered by Zhigang Bao from Hong Kong University of Science and Technology at the Fields Institute. Delve into this complex mathematical topic as part of the Workshop on Operator Algebras and Applications: Free Probability and the broader Thematic Program on Operator Algebras and Applications. Gain insights into the latest research and developments in this field, connecting concepts from operator algebras, free probability, and matrix analysis. Enhance your understanding of the behavior of eigenvalues in high-dimensional covariance matrices and their implications in various applications of statistical analysis and data science.

Phase transition for the smallest eigenvalue of covariance matrices