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 matrix; sample covariance matrices; bulk universality

Mathematics Subject Classification ID

60B20: Random matrices (probabilistic aspects)

60B10: Convergence of probability measures

60B12: Limit theorems for vector-valued random variables (infinite-dimensional case)

Related Items

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

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