On limit theorem for the eigenvalues of product of two random matrices (Q860335)
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| Language | Label | Description | Also known as |
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| English | On limit theorem for the eigenvalues of product of two random matrices |
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On limit theorem for the eigenvalues of product of two random matrices (English)
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9 January 2007
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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.
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limiting spectral distribution
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large dimensional random matrices
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covariance matrix
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Hermitian matrix
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Wigner matrix
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