A limit theorem for the eigenvalues of product of two random matrices

DOI10.1016/0047-259X(83)90035-0zbMATH Open0553.62018OpenAlexW3143198474MaRDI QIDQ802234FDOQ802234

Publication date: 1983

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(83)90035-0

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Wishart matrix spectral distribution function real eigenvalues product of two random matrices symmetric matrix of random variables

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20)

Cites Work

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On the distribution of the roots of certain symmetric matrices
Some limit theorems for the eigenvalues of a sample covariance matrix
The strong limits of random matrix spectra for sample matrices of independent elements
Spectral Analysis of Networks with Random Topologies

Cited In (33)

On the sufficient conditions in the limit theorem for singular spectral functions of random matrices
On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
On the singular spectrum of powers and products of random matrices
Title not available (Why is that?)
On limit theorem for the eigenvalues of product of two random matrices
Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
Random determinants
Limiting spectral distribution for a class of random matrices
Title not available (Why is that?)
Limiting behavior of the eigenvalues of a multivariate F matrix
Additive/multiplicative free subordination property and limiting eigenvectors of spiked additive deformations of Wigner matrices and spiked sample covariance matrices
The application of spectral distribution of product of two random matrices in the factor analysis
In memoriam: Paruchuri Rama Krishnaiah (1932--1987). A tribute
On limiting spectral distribution of product of two random matrices when the underlying distribution is isotropic
Random matrix theory in statistics: a review
On the limiting spectral distribution of the covariance matrices of time-lagged processes
Ridgelized Hotelling’s T² test on mean vectors of large dimension
CLT for linear spectral statistics of large-dimensional sample covariance matrices.
A Local Limit Theorem and Delocalization of Eigenvectors for Polynomials in Two Matrices
On asymptotics of eigenvectors of large sample covariance matrix
Limiting spectral distribution of large-dimensional sample covariance matrices generated by the periodic autoregressive model
Sharp bounds for sums associated to graphs of matrices
A note on the limiting distribution of certain characteristic roots
Limiting spectral distribution of a symmetrized auto-cross covariance matrix
A result on the limiting spectral distribution of random matrices with unequal variance entries
Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA
A new test for sphericity of the covariance matrix for high dimensional data
On the empirical spectral distribution for matrices with long memory and independent rows
On singular values of large dimensional lag-\(\tau\) sample auto-correlation matrices
The Limiting Eigenvalue Distribution of a Multivariate F Matrix
Eigenvectors of some large sample covariance matrix ensembles
Limiting normalized spectral functions of a pencil of self-adjoint random matrices
The norm of polynomials in large random and deterministic matrices

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