Universality in the bulk of the spectrum for complex sample covariance matrices
Probability
2011-01-05 v2
Abstract
We consider complex sample covariance matrices where is a random matrix with i.i.d. entries with distribution . Under some regularity and decay assumption on , we prove universality of some local eigenvalue statistics in the bulk of the spectrum in the limit where and for any real number .
Keywords
Cite
@article{arxiv.0912.2493,
title = {Universality in the bulk of the spectrum for complex sample covariance matrices},
author = {S. Péché},
journal= {arXiv preprint arXiv:0912.2493},
year = {2011}
}
Comments
Typos corrected, figures and exposition improved