On the spectral norm of large heavy-tailed random matrices with strongly dependent rows and columns
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Publication:6237627
Abstract: We study a new random matrix ensemble which is constructed by an application of a two dimensional linear filter to a matrix of iid random variables with infinite fourth moments. Our result gives asymptotic lower and upper bounds for the spectral norm of the (centered) sample covariance matrix when the number of columns as well es the number of rows of tend to infinity.
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