Eigenvalue Density of the Wishart Matrix and Large Deviations

DOI10.1142/S021902579800034XzbMath0934.60006MaRDI QIDQ4236710

Fumio Hiai, Dénes Petz

Publication date: 22 November 1999

Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

zbMATH Keywords

rate functionWishart matrixGaussian symmetric matrix

Mathematics Subject Classification ID

Probability measures on topological spaces (60B05) Large deviations (60F10) Convergence of probability measures (60B10)

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Cites Work

• Where does the sup norm of a weighted polynomial live? (A generalization of incomplete polynomials)
• Some limit theorems for the eigenvalues of a sample covariance matrix
• The strong limits of random matrix spectra for sample matrices of independent elements
• The analogues of entropy and of Fisher's information measure in free probability theory. II
• Large deviations for Wigner's law and Voiculescu's non-commutative entropy