Related papers: $XX^T$ Matrices With Independent Entries

The eigenvector empirical spectral distribution (VESD) is a useful tool in studying the limiting behavior of eigenvalues and eigenvectors of covariance matrices. In this paper, we study the convergence rate of the VESD of sample covariance…

We introduce a random matrix model where the entries are dependent across both rows and columns. More precisely, we investigate matrices of the form $\X=(X_{(i-1)n+t})_{it}\in\R^{p\times n}$ derived from a linear process $X_t=\sum_j c_j…

We derive the Marchenko-Pastur (MP) law for sample covariance matrices of the form $V_n=\frac{1}{n}XX^T$, where $X$ is a $p\times n$ data matrix and $p/n\to y\in(0,\infty)$ as $n,p \to \infty$. We assume the data in $X$ stems from a…

We consider products of independent square non-Hermitian random matrices. More precisely, let X(1),...,X(n) be random matrices with independent entries (real or complex with independent real and imaginary parts) with zero mean and variance…

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…

Let $\mathbf X=(X_{jk})$ denote $n\times p$ random matrix with entries $X_{jk}$, which are independent for $1\le j\le n,1\le k\le p$. We consider the rate of convergence of empirical spectral distribution function of the matrix $\mathbf…

In this article we show the existence of limiting spectral distribution of a symmetric random matrix whose entries come from a stationary Gaussian process with covariances satisfying a summability condition. We provide an explicit…

In this paper we consider ensemble of random matrices $\X_n$ with independent identically distributed vectors $(X_{ij}, X_{ji})_{i \neq j}$ of entries. Under assumption of finite fourth moment of matrix entries it is proved that empirical…

We consider sample covariance matrices of the form $X^*X$, where $X$ is an $M \times N$ matrix with independent random entries. We prove the isotropic local Marchenko-Pastur law, i.e. we prove that the resolvent $(X^* X - z)^{-1}$ converges…

Limiting Spectral Distributions (LSD) of real symmetric patterned matrices have been well-studied. In this article, we consider skew-symmetric/anti-symmetric patterned random matrices and establish the LSDs of several common matrices. For…

For a class of symmetric random matrices whose entries are martingale differences adapted to an increasing filtration, we prove that under a Lindeberg-like condition, the empirical spectral distribution behaves asymptotically similarly to a…

In Jin et al. (2014), the limiting spectral distribution (LSD) of a symmetrized auto-cross covariance matrix is derived using matrix manipulation, with finite $(2+\delta)$-th moment assumption. Here we give an alternative method using a…

Let $S_n=\frac{1}{n}X_nX_n^*$ where $X_n=\{X_{ij}\}$ is a $p\times n$ matrix with i.i.d. complex standardized entries having finite fourth moments. Let $Y_n(\mathbf {t}_1,\mathbf {t}_2,\sigma)=\sqrt{p}({\mathbf {x}}_n(\mathbf…

In this paper we study ensembles of random symmetric matrices $\X_n = {X_{ij}}_{i,j = 1}^n$ with dependent entries such that $\E X_{ij} = 0$, $\E X_{ij}^2 = \sigma_{ij}^2$, where $\sigma_{ij}$ may be different numbers. Assuming that the…

We consider the limiting spectral distribution of matrices of the form $\frac{1}{2b_{n}+1} (R + X)(R + X)^{*}$, where $X$ is an $n\times n$ band matrix of bandwidth $b_{n}$ and $R$ is a non random band matrix of bandwidth $b_{n}$. We show…

Let $X_N$ be a symmetric $N\times N$ random matrix whose $\sqrt{N}$-scaled centered entries are uniformly square integrable. We prove that if the entries of $X_N$ can be partitioned into independent subsets each of size $o(\log N)$, then…

This paper is concerned with extensions of the classical Mar\v{c}enko-Pastur law to time series. Specifically, $p$-dimensional linear processes are considered which are built from innovation vectors with independent, identically distributed…

It is a classical result of Wigner that for an hermitian matrix with independent entries on and above the diagonal, the mean empirical eigenvalue distribution converges weakly to the semicircle law as matrix size tends to infinity. In this…

We study the limiting spectral distribution of large-dimensional sample covariance matrices associated with symmetric random tensors formed by $\binom{n}{d}$ different products of $d$ variables chosen from $n$ independent standardized…

We consider the products of $m\ge 2$ independent large real random matrices with independent vectors $(X_{jk}^{(q)},X_{kj}^{(q)})$ of entries. The entries $X_{jk}^{(q)},X_{kj}^{(q)}$ are correlated with $\rho=\mathbb E…