Spectral measure of heavy tailed band and covariance random matrices
From MaRDI portal
Publication:2391141
DOI10.1007/s00220-009-0822-4zbMath1221.15050arXiv0811.1587OpenAlexW2138431798WikidataQ101121161 ScholiaQ101121161MaRDI QIDQ2391141
Amir Dembo, Alice Guionnet, Serban Teodor Belinschi
Publication date: 24 July 2009
Published in: Communications in Mathematical Physics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0811.1587
Random matrices (probabilistic aspects) (60B20) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Convergence of probability measures (60B10)
Related Items
Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case ⋮ GOE statistics for Lévy matrices ⋮ Delocalization at small energy for heavy-tailed random matrices ⋮ The limiting distributions of large heavy Wigner and arbitrary random matrices ⋮ Localization and delocalization of eigenvectors for heavy-tailed random matrices ⋮ Finite rank perturbations of heavy-tailed Wigner matrices ⋮ Around the circular law ⋮ Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails ⋮ Spectrum of large random Markov chains: Heavy-tailed weights on the oriented complete graph ⋮ Circulant type matrices with heavy tailed entries ⋮ Spectrum of non-Hermitian heavy tailed random matrices ⋮ Freeness over the diagonal for large random matrices ⋮ New estimators of spectral distributions of Wigner matrices ⋮ Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series ⋮ Non-Hermitian random matrices with a variance profile. I: Deterministic equivalents and limiting esds ⋮ Central limit theorems for linear statistics of heavy tailed random matrices ⋮ Convergence of the spectrum of empirical covariance matrices for independent MRW processes ⋮ Spectrum of large random reversible Markov chains: heavy-tailed weights on the complete graph ⋮ Poisson convergence for the largest eigenvalues of heavy tailed random matrices ⋮ Eigenvector statistics of Lévy matrices ⋮ Circular law for random block band matrices with genuinely sublinear bandwidth ⋮ Unnamed Item ⋮ Random matrix theory for heavy-tailed time series ⋮ Random matrix models for datasets with fixed time horizons ⋮ Extreme eigenvalue statistics of \(m\)-dependent heavy-tailed matrices ⋮ Spectrum of heavy-tailed elliptic random matrices ⋮ Amalgamated free Lévy processes as limits of sample covariance matrices ⋮ Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations
Cites Work
- Unnamed Item
- Unnamed Item
- The spectrum of heavy tailed random matrices
- A generalization of Wigner's law
- Analytic continuation of functions of several complex variables and its applications
- Spectral measure of large random Hankel, Markov and Toeplitz matrices
- Asymptotic properties of large random matrices with independent entries
This page was built for publication: Spectral measure of heavy tailed band and covariance random matrices
