A short proof of the Marchenko-Pastur theorem

DOI10.1016/J.CRMA.2015.12.008MaRDI QIDQ1695207zbMATH OpenOpenAlexFDO

Authors Pavel Yaskov

Publication date 7 February 2018

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.04922

zbMATH Keywords

Cauchy-Stieltjes resolventMarchenko-Pastur theoremrandom matrices

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20)

Abstract: We prove the Marchenko-Pastur theorem for random matrices with i.i.d. rows and a general dependence structure within the rows by a simple modification of the standard Cauchy-Stieltjes resolvent method.

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Cited in

(12)

• LLN for quadratic forms of long memory time series and its applications in random matrix theory
• On the spectrum of sample covariance matrices for time series
• scientific article; zbMATH DE number 2145249 (Why is no real title available?)
• A short proof of a theorem of Machado
• Random matrix models for datasets with fixed time horizons
• On the empirical spectral distribution for certain models related to sample covariance matrices with different correlations
• Generalized Catalan numbers associated with a family of Pascal-like triangles
• Marchenko–Pastur law with relaxed independence conditions
• Marchenko-Pastur law for a random tensor model
• Large sample covariance matrices of Gaussian observations with uniform correlation decay
• On Sufficient Conditions in the Marchenko--Pastur Theorem
• Spectra of large dimensional random Gram matrices under partial dependence

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