Harmonic means of Wishart random matrices

DOI10.1142/S2010326321500167MaRDI QIDQ3385474zbMATH OpenOpenAlexFDO

Authors Asad Lodhia

Publication date 18 December 2021

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

Full work available at URL https://arxiv.org/abs/1905.02357

zbMATH Keywords

covariance estimationrandom matricesfree probabilityWishart matrix

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

Abstract: We use free probability to compute the limiting spectral properties of the harmonic mean of $n$ i.i.d. Wishart random matrices $mathbf{W}_i$ whose limiting aspect ratio is $gammain(0,1)$ when $mathbbE[mathbf{W}_i]=mathbfI$. We demonstrate an interesting phenomenon where the harmonic mean $mathbfH$ of the $n$ Wishart matrices is closer in operator norm to $mathbbE[mathbf{W}_i]$ than the arithmetic mean $mathbfA$ for small $n$, after which the arithmetic mean is closer. We also prove some results for the general case where the expectation of the Wishart matrices are not the identity matrix.

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(2)

• Harmonic mean, random polynomials and stochastic matrices.
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