Spectra of Wishart Matrices with size-dependent entries
Probability
2017-10-18 v1
Abstract
We prove the convergence of the empirical spectral measure of Wishart matrices with size-dependent entries and characterize the limiting law by its moments. We apply our result to the cases where the entries are Bernoulli variables with parameter c=n or truncated heavy-tailed random variables. In both cases, when c goes to infinity or when the truncation is small, the limiting spectrum is a perturbation of the Marchenko-Pastur distribution and we compute its leading term.
Keywords
Cite
@article{arxiv.1710.06355,
title = {Spectra of Wishart Matrices with size-dependent entries},
author = {Nathan Noiry},
journal= {arXiv preprint arXiv:1710.06355},
year = {2017}
}
Comments
17 pages, 6 figures