Universality in the bulk of the spectrum for complex sample covariance matrices

DOI10.1214/11-AIHP442zbMath1238.60010arXiv0912.2493MaRDI QIDQ2428946

Sandrine Péché

Publication date: 22 April 2012

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0912.2493

zbMATH Keywords

random matrixsample covariance matricesbulk universality

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Convergence of probability measures (60B10) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

Related Items (5)

Local eigenvalue density for general MANOVA matrices ⋮ On the correlation functions of the characteristic polynomials of the Hermitian sample covariance matrices ⋮ Universality of covariance matrices ⋮ Large sample correlation matrices: a comparison theorem and its applications ⋮ Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations

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