Estimating the covariance of random matrices
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Publication:389013
DOI10.1214/EJP.V18-2579zbMATH Open1287.60014arXiv1301.6607OpenAlexW2140920630MaRDI QIDQ389013FDOQ389013
Authors: Pierre Youssef 
Publication date: 17 January 2014
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Abstract: We extend to the matrix setting a recent result of Srivastava-Vershynin about estimating the covariance matrix of a random vector. The result can be in- terpreted as a quantified version of the law of large numbers for positive semi-definite matrices which verify some regularity assumption. Beside giving examples, we dis- cuss the notion of log-concave matrices and give estimates on the smallest and largest eigenvalues of a sum of such matrices.
Full work available at URL: https://arxiv.org/abs/1301.6607
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