Large deviation theorem for random covariance matrices
Complex Variables
2017-07-25 v1 Probability
Abstract
We establish a large deviation theorem for the empirical spectral distribution of random covariance matrices whose entries are independent random variables with mean 0, variance 1 and having controlled forth moments. Some new properties of Laguerre polynomials are also given.
Cite
@article{arxiv.1707.07174,
title = {Large deviation theorem for random covariance matrices},
author = {Tien-Cuong Dinh and Duc-Viet Vu},
journal= {arXiv preprint arXiv:1707.07174},
year = {2017}
}
Comments
21 pages