Estimation of deviation for random covariance matrices

DOI10.1307/MMJ/1559894544zbMath1473.60017OpenAlexW2952374449WikidataQ127728228 ScholiaQ127728228MaRDI QIDQ2335874

Tien-Cuong Dinh, Duc-Viet Vu

Publication date: 15 November 2019

Published in: Michigan Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.mmj/1559894544

zbMATH Keywords

sample covariance matrixempirical eigenvalue distributionspeed of convergenceMarchenko-Pastur distribution

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Random matrices (algebraic aspects) (15B52)

Cites Work

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• Random covariance matrices: universality of local statistics of eigenvalues
• Convergence rates to the Marchenko-Pastur type distribution
• Spectral analysis of large dimensional random matrices
• Convergence to the semicircle law
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• Limiting spectral distribution for a class of random matrices
• Rate of convergence in probability to the Marchenko-Pastur law
• Some new asymptotic properties for the zeros of Jacobi, Laguerre, and Hermite polynomials
• Large deviation theorem for zeros of polynomials and Hermitian random matrices
• Asymptotics for Laguerre polynomials with large order and parameters
• Isotropic local laws for sample covariance and generalized Wigner matrices
• Spectral Analysis of Networks with Random Topologies
• Dynamics in several complex variables: endomorphisms of projective spaces and polynomial-like mapping
• Local Marchenko-Pastur law at the hard edge of sample covariance matrices
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Universality of local eigenvalue statistics for some sample covariance matrices

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