Spectral Convergence of Large Block-Hankel Gaussian Random Matrices
Probability
2017-04-25 v1
Abstract
This paper studies the behaviour of the empirical eigenvalue distribution of large random matrices W_N W_N* where W_N is a ML x N matrix, whose M block lines of dimensions L x N are mutually independent Hankel matrices constructed from complex Gaussian correlated stationary random sequences. In the asymptotic regime where M \rightarrow \infty, N \rightarrow +\infty and ML/N \rightarrow c > 0, it is shown using the Stieltjes transform approach that the empirical eigenvalue distribution of W_N W_N* has a deterministic behaviour which is characterized.
Keywords
Cite
@article{arxiv.1704.06651,
title = {Spectral Convergence of Large Block-Hankel Gaussian Random Matrices},
author = {Philippe Loubaton and Xavier Mestre},
journal= {arXiv preprint arXiv:1704.06651},
year = {2017}
}
Comments
To appear in Advances in Complex Analysis and Operator Theory, Festschrift in honor of Daniel Alpay's 60th birthday, Birkha\"user-Verlag