Asymptotic freeness of sample covariance matrices via embedding
Probability
2021-01-19 v1
Abstract
We present an alternative proof of asymptotic freeness of independent sample covariance matrices, when the dimension and the sample size grow at the same rate, by embedding these matrices into Wigner matrices of a larger order and using asymptotic freeness of independent Wigner and deterministic matrices.
Keywords
Cite
@article{arxiv.2101.06481,
title = {Asymptotic freeness of sample covariance matrices via embedding},
author = {Monika Bhattacharjee and Arup Bose},
journal= {arXiv preprint arXiv:2101.06481},
year = {2021}
}