The limiting spectral distribution in terms of spectral density

DOI10.1142/S2010326316500039zbMATH Open1336.60049arXiv1601.04362OpenAlexW3098370776MaRDI QIDQ2800841FDOQ2800841

Authors: Costel Peligrad, Magda Peligrad 

Publication date: 18 April 2016

Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1601.04362

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zbMATH Keywords

Stieltjes transformspectral densityrandom matriceslimiting spectral distributionstationary random fieldscorrelated entries

Mathematics Subject Classification ID

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)

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Cited In (13)

• Erratum: The limiting spectral distribution in terms of spectral density
• Limiting spectral distribution of Toeplitz and Hankel matrices with dependent entries
• The continuous density function of the limiting spectral distribution
• On the limiting spectral density of random matrices filled with stochastic processes
• Spectral density for random matrices with independent skew-diagonals
• Limiting spectral distribution of a special circulant
• Singular value distribution of dense random matrices with block Markovian dependence
• On the limiting spectral distribution for a large class of symmetric random matrices with correlated entries
• Limiting spectral distribution of Gram matrices associated with functionals of \(\beta\)-mixing processes
• Universality of limiting spectral distribution under projective criteria
• From random matrices to long range dependence
• Limiting spectral density of a dynamic nonconservative birth-death \(Q\) matrix
• A spectral dominance approach to large random matrices

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