Large deviation theorem for random covariance matrices

Publication date 22 July 2017

Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Random matrices (probabilistic aspects) (60B20)

Abstract: We establish a large deviation theorem for the empirical spectral distribution of random covariance matrices whose entries are independent random variables with mean 0, variance 1 and having controlled forth moments. Some new properties of Laguerre polynomials are also given.

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