English

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