Non-white Wishart ensembles

DOI10.1016/J.JMVA.2005.09.001MaRDI QIDQ2489490zbMATH OpenOpenAlexFDO

Authors S. Péché

Publication date 28 April 2006

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2005.09.001

zbMATH Keywords

random matrixlargest eigenvalueWishart matrixMarchenko-Pastur lawsample covariance matricesasymptotic eigenvalue statistics

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Random matrices (algebraic aspects) (15B52) Central limit and other weak theorems (60F05)

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Cites work

• scientific article; zbMATH DE number 4082653 (Why is no real title available?)
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• Shape fluctuations and random matrices
• The strong limits of random matrix spectra for sample matrices of independent elements
• Universality of the local spacing distribution in certain ensembles of Hermitian Wigner matrices

Cited in

(2)

• Additive/multiplicative free subordination property and limiting eigenvectors of spiked additive deformations of Wigner matrices and spiked sample covariance matrices
• Eigenfunction statistics of Wishart Brownian ensembles

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