Spectral convergence of large block-Hankel Gaussian random matrices

DOI10.1007/978-3-319-62362-7_10MaRDI QIDQ4637543zbMATH OpenOpenAlexFDO

Authors Philippe Loubaton, X. Mestre

Publication date 24 April 2018

Published in Trends in Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1704.06651

zbMATH Keywords

Hankel matriceslarge random matricesStieltjes transform of positive matrix-valued measures

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

Abstract: This paper studies the behaviour of the empirical eigenvalue distribution of large random matrices W_N W_N* where W_N is a ML x N matrix, whose M block lines of dimensions L x N are mutually independent Hankel matrices constructed from complex Gaussian correlated stationary random sequences. In the asymptotic regime where M ightarrow infty, N ightarrow +infty and ML/N ightarrow c > 0, it is shown using the Stieltjes transform approach that the empirical eigenvalue distribution of W_N W_N* has a deterministic behaviour which is characterized.

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Cited in

(8)

• On the asymptotic behavior of the eigenvalue distribution of block correlation matrices of high-dimensional time series
• On the asymptotic eigenvalue distribution of concatenated vector-valued fading channels
• Spectral analysis of large block random matrices with rectangular blocks
• Remark on the norm of random Hankel matrices
• On the universality of the distribution of the generalized eigenvalues of a pencil of Hankel random matrices
• On the almost sure location of the singular values of certain Gaussian block-Hankel large random matrices
• Spectral convergence for a general class of random matrices
• Determinants of block Hankel matrices for random matrix-valued measures

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