Empirical correlation operator and many-dimensional Hermite polynomials

DOI10.1007/BF01061448MaRDI QIDQ1336014zbMATH OpenFDO

Authors V. I. Stepakhno

Publication date 10 November 1994

Published in Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF01061448

zbMATH Keywords

asymptotic propertiescorrelation operatormultivariate Hermite polynomialsprojection operatorvector Hermite polynomials

Mathematics Subject Classification ID

Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Orthogonal polynomials and functions in several variables expressible in terms of special functions in one variable (33C50) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12) Random operators and equations (aspects of stochastic analysis) (60H25) Multivariate analysis (62H99)

Review text

This paper deals with an operator, which the author calls an empirical correlation operator, operating on the subspace of vector Hermite polynomials of a given order. The asymptotic properties of this operator are studied by considering a simple random sample of size \(n\) from an \(m\)-variate Gaussian population. The results obtained in this paper extend earlier results on the asymptotic behaviour of the spectrum of the operator when \(n\) and \(m\) go to infinity with \(m/n\) going to a finite quantity.

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Cites work

• A central limit theorem for Hermitian polynomials of independent Gaussian variables
• Generalization of Hermite polynomials
• scientific article; zbMATH DE number 3936188 (Why is no real title available?)
• On the limit of the largest eigenvalue of the large dimensional sample covariance matrix

Cited in

(2)

• Multicritical microscopic spectral correlators of Hermitian and complex matrices
• scientific article; zbMATH DE number 758241 (Why is no real title available?)

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