Numerical and Monte Carlo verification of V-distribution

DOI10.1515/ROSE.1998.6.2.201MaRDI QIDQ3843097zbMATH OpenOpenAlexFDO

Authors

Publication date 24 August 1998

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rose.1998.6.2.201

zbMATH Keywords

stochastic matrixdistribution of eigenvaluesMonte Carlo studies

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Eigenvalues, singular values, and eigenvectors (15A18) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Stochastic matrices (15B51)

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(5)

• Algorithm and software for defining the distribution of eigenvalues of random symmetric matrices via simulation
• Exact separation of eigenvalues of large dimensional sample covariance matrices
• A statistical veto method employing an amplitude consistency check
• On the number of real eigenvalues of a product of truncated orthogonal random matrices
• Gaussian fluctuations in complex sample covariance matrices

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