On the eigenvalue distribution of some symmetric random matrices (Q4382099)
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scientific article; zbMATH DE number 1134631
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| English | On the eigenvalue distribution of some symmetric random matrices |
scientific article; zbMATH DE number 1134631 |
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26 March 1998
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Marchenko-Pastur distribution
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eigenvalues of random matrix
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sample covariance matrix
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On the eigenvalue distribution of some symmetric random matrices (English)
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The authors derive explicit formulas for the moment of the Marchenko-Pastur distribution and give an elementary proof that it describes the limiting spectral density of \(TT^t/n\) where \(T\) is a \( p(n)\times n\) random matrix whose entries are independent identically distributed with mean zero, variance 1 and bounded moments, \(p(n)/n\) approaching a constant.
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