Spectra of infinite-dimensional sample covariance matrices

DOI10.1007/s11232-006-0107-4zbMath1177.82065OpenAlexW2018216308MaRDI QIDQ1047051

V. I. Serdobol'skij

Publication date: 3 January 2010

Published in: Theoretical and Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11232-006-0107-4

zbMATH Keywords

spectra of random matricesspectra of infinite-dimensional random matricesspectral functions of sample covariance matrices

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41)

Cites Work

• On the distribution of the roots of certain symmetric matrices
• Multivariate statistical analysis. A high-dimensional approach
• Asymptotic distribution of eigenvalues of weakly dilute Wishart matrices
• Statistical analysis of observations of increasing dimension. Transl. from the Russian
• Twenty five years of stochastic canonical equation for normalized spectral functions of random symmetric matrices
• Convergence rate of the expected spectral functions of symmetric random matrices is equal to o (n-1/2)
• Theory of essentially multivariate statistical analysis
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES

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