Related papers: Limit distributions of sample covariance matrices …

In this paper we show that the empirical eigenvalue distribution of any sample covariance matrix generated by independent copies of a stationary regular sequence has a limiting distribution depending only on the spectral density of the…

In this paper we establish the limit of the empirical spectral distribution of quaternion sample covariance matrices. Suppose $\mathbf X_n = ({x_{jk}^{(n)}})_{p\times n}$ is a quaternion random matrix. For each $n$, the entries…

Consider a $N\times n$ random matrix $Z_n=(Z^n_{j_1 j_2})$ where the individual entries are a realization of a properly rescaled stationary gaussian random field. The purpose of this article is to study the limiting empirical distribution…

We derive tight lower bounds on the smallest eigenvalue of a sample covariance matrix of a centred isotropic random vector under weak or no assumptions on its components.

In this paper we consider Wigner random matrices -- symmetric n by n random matrices whose entries are independent identically distributed real random variables. We prove that the probability distribution of one or several eigenvalues close…

We provide non-asymptotic, relative deviation bounds for the eigenvalues of empirical covariance and Gram matrices in general settings. Unlike typical uniform bounds, which may fail to capture the behavior of smaller eigenvalues, our…

We consider the eigenvalues of sample covariance matrices of the form $\mathcal{Q}=(\Sigma^{1/2}X)(\Sigma^{1/2}X)^*$. The sample $X$ is an $M\times N$ rectangular random matrix with real independent entries and the population covariance…

We consider the empirical eigenvalue distribution of random real symmetric matrices with stochastically independent skew-diagonals and study its limit if the matrix size tends to infinity. We allow correlations between entries on the same…

We derive the distribution of the eigenvalues of a large sample covariance matrix when the data is dependent in time. More precisely, the dependence for each variable $i=1,...,p$ is modelled as a linear process…

We study limit distributions of independent random matrices as well as limit joint distributions of their blocks under normalized partial traces composed with classical expectation. In particular, we are concerned with the ensemble of…

In this article we investigate high-dimensional banded sample covariance matrices under the regime that the sample size $n$, the dimension $p$ and the bandwidth $d$ tend simultaneously to infinity such that $$n/p\to 0 \ \ \text{and} \ \…

We consider a class of sample covariance matrices of the form $Q=TXX^{*}T^*,$ where $X=(x_{ij})$ is an $M \times N$ rectangular matrix consisting of i.i.d entries and $T$ is a deterministic matrix satisfying $T^*T$ is diagonal. Assuming $M$…

We investigate the spectral distribution of random matrix ensembles with correlated entries. We consider symmetric matrices with real valued entries and stochastically independent diagonals. Along the diagonals the entries may be…

For symmetric random matrices with correlated entries, which are functions of independent random variables, we show that the asymptotic behavior of the empirical eigenvalue distribution can be obtained by analyzing a Gaussian matrix with…

Large H-selfadjoint random matrices are considered. The matrix $H$ is assumed to have one negative eigenvalue, hence the matrix in question has precisely one eigenvalue of nonpositive type. It is showed that this eigenvalue converges in…

We consider $n\times n$ real symmetric and hermitian random matrices $H_{n,m}$ equals the sum of a non-random matrix $H_{n}^{(0)}$ matrix and the sum of $m$ rank-one matrices determined by $m$ i.i.d. isotropic random vectors with…

We introduce a new random matrix model called distance covariance matrix in this paper, whose normalized trace is equivalent to the distance covariance. We first derive a deterministic limit for the eigenvalue distribution of the distance…

A Laplacian matrix is a real symmetric matrix whose row and column sums are zero. We investigate the limiting distribution of the largest eigenvalues of a Laplacian random matrix with Gaussian entries. Unlike many classical matrix…

We study the local eigenvalue statistics $\xi_{\omega,E}^N$ associated with the eigenvalues of one-dimensional, $(2N+1) \times (2N+1)$ random band matrices with independent, identically distributed, real random variables and band width…

This paper investigates limiting properties of eigenvalues of multivariate sample spatial-sign covariance matrices when both the number of variables and the sample size grow to infinity. The underlying p-variate populations are general…