On the spectral norm of large heavy-tailed random matrices with strongly dependent rows and columns

arXiv1211.7221MaRDI QIDQ6237627FDOQ6237627

Authors: Oliver Pfaffel 

Publication date: 30 November 2012

Abstract: We study a new random matrix ensemble $X$ 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 $X{X}^T$ when the number of columns as well es the number of rows of $X$ tend to infinity.

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