Estimating the covariance of random matrices
Probability
2015-11-16 v2
Abstract
We extend to the matrix setting a recent result of Srivastava-Vershynin about estimating the covariance matrix of a random vector. The result can be in- terpreted as a quantified version of the law of large numbers for positive semi-definite matrices which verify some regularity assumption. Beside giving examples, we dis- cuss the notion of log-concave matrices and give estimates on the smallest and largest eigenvalues of a sum of such matrices.
Cite
@article{arxiv.1301.6607,
title = {Estimating the covariance of random matrices},
author = {Pierre Youssef},
journal= {arXiv preprint arXiv:1301.6607},
year = {2015}
}
Comments
29 pages