Non-white Wishart ensembles

DOI10.1016/J.JMVA.2005.09.001zbMATH Open1097.15021OpenAlexW1981418861MaRDI QIDQ2489490FDOQ2489490

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

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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)

Cites Work

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• Convergence Rates of Spectral Distributions of Large Sample Covariance Matrices
• Title not available (Why is that?)

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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