On limit theorem for the eigenvalues of product of two random matrices (Q860335)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: On limit theorem for the eigenvalues of product of two random matrices |
scientific article; zbMATH DE number 5083100
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | On limit theorem for the eigenvalues of product of two random matrices |
scientific article; zbMATH DE number 5083100 |
Statements
On limit theorem for the eigenvalues of product of two random matrices (English)
0 references
9 January 2007
0 references
The limiting spectral distribution (LSD) of a product of two random matrices, one of them being a sample covariance matrix and the other being an arbitrary Hermitian matrix, is considered. Using some combinatorics results related to graph theory the existence of the LSD of products of random matrices is established. The density function of the LSD of a special case of the product of the sample covariance matrix \(S_n\) and the Wigner matrix \(W_n\) is derived.
0 references
limiting spectral distribution
0 references
large dimensional random matrices
0 references
covariance matrix
0 references
Hermitian matrix
0 references
Wigner matrix
0 references
0 references
0 references
0 references
0 references
0 references
0.99233997
0 references
0.94511354
0 references
0.9404402
0 references
0 references
0.9296304
0 references
0.9290887
0 references
