On Random Correlation Matrices

DOI10.1137/0612019zbMath0723.15020OpenAlexW1968078808MaRDI QIDQ3211469

Richard B. Holmes

Publication date: 1991

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0612019

zbMATH Keywords

normperturbationcondition numbersignal processingspectral distributiondistribution of eigenvaluesrandom eigenvaluerandom correlation matricesrandom spectrummethod of direct acceptance and rejectionrandom Gram matrixStatistical bounds

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Conditioning of matrices (15A12)

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