Moment approach for singular values distribution of a large auto-covariance matrix
DOI10.1214/15-AIHP693zbMath1359.15034arXiv1410.0752OpenAlexW2246613416MaRDI QIDQ503082
Publication date: 11 January 2017
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1410.0752
Stieltjes transformconvergenceeigenvaluerandom matriceslargest eigenvaluesingular valuesempirical spectral distributionlimiting spectral distributionmoment methodauto-covariance matrix
Random matrices (probabilistic aspects) (60B20) Strong limit theorems (60F15) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52)
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