The limiting spectral distribution in terms of spectral density
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Publication:2800841
Stieltjes transformspectral densityrandom matriceslimiting spectral distributionstationary random fieldscorrelated entries
Gaussian processes (60G15) Random fields (60G60) Asymptotic distribution theory in statistics (62E20) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38)
Abstract: For a large class of symmetric random matrices with correlated entries, selected from stationary random fields of centered and square integrable variables, we show that the limiting distribution of eigenvalue counting measure always exists and we describe it via an equation satisfied by its Stieltjes transform. No rate of convergence to zero of correlations is imposed, therefore the process is allowed to have long memory. In particular, if the symmetrized matrices are constructed from stationary Gaussian random fields which have spectral density, the result of this paper gives a complete solution to the limiting eigenvalue distribution. More generally, for matrices whose entries are functions of independent identically distributed random variables the result also holds.
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Cites work
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