Harmonic means of Wishart random matrices

DOI10.1142/S2010326321500167zbMATH Open1481.60011arXiv1905.02357OpenAlexW3003560814MaRDI QIDQ3385474FDOQ3385474

Publication date: 18 December 2021

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

Abstract: We use free probability to compute the limiting spectral properties of the harmonic mean of

n

i.i.d. Wishart random matrices

m a t h b f W_{i}

whose limiting aspect ratio is

g a m m a i n (0, 1)

when

m a t h b b E [m a t h b f W_{i}] = m a t h b f I

. We demonstrate an interesting phenomenon where the harmonic mean

m a t h b f H

of the

n

Wishart matrices is closer in operator norm to

m a t h b b E [m a t h b f W_{i}]

than the arithmetic mean

m a t h b f A

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.

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

zbMATH Keywords

covariance estimation random matrices free probability Wishart 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)

Cites Work

Cited In (1)

Matrix means and a novel high-dimensional shrinkage phenomenon

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