On Random Correlation Matrices
DOI10.1137/0612019zbMath0723.15020OpenAlexW1968078808MaRDI QIDQ3211469
Publication date: 1991
Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0612019
normperturbationcondition numbersignal processingspectral distributiondistribution of eigenvaluesrandom eigenvaluerandom correlation matricesrandom spectrummethod of direct acceptance and rejectionrandom Gram matrixStatistical bounds
Multivariate distribution of statistics (62H10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Conditioning of matrices (15A12)
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