Asymptotic distribution of singular values of powers of random matrices
Probability
2011-11-15 v1
Abstract
Let be a complex random variable such that , , . Let , be independet copies of . Let , be a random matrix. Writing for the adjoint matrix of , consider the product with some . The matrix is Hermitian positive semi-definite. Let be eigenvalues of (or squared singular values of the matrix ). In this paper we find the asymptotic distribution function of the empirical distribution function where stands for the indicator function of event . The moments of satisfy In Free Probability Theory are known as Fuss--Catalan numbers. With our result turns to a well known result of Marchenko--Pastur 1967.
Keywords
Cite
@article{arxiv.1002.4442,
title = {Asymptotic distribution of singular values of powers of random matrices},
author = {Nikita Alexeev and Friedrich Götze and Alexander Tikhomirov},
journal= {arXiv preprint arXiv:1002.4442},
year = {2011}
}
Comments
16 pages, 5 figures