Detail

Concentration of the spectral measure of large Wishart matrices with dependent entries.

Author(s)
Adityanand Guntuboyina, Hannes Leeb
Abstract

We derive concentration inequalities for the spectral measure of large random matrices, allowing for certain forms of dependence. Our main focus is on empirical covariance (Wishart) matrices, but general symmetric random matrices are also considered.

Organisation(s)
Department of Statistics and Operations Research
External organisation(s)
Yale University
Journal
Electronic Communications in Probability
Volume
14
Pages
334-342
No. of pages
9
ISSN
1083-589X
Publication date
2009
Peer reviewed
Yes
Austrian Fields of Science 2012
101029 Mathematical statistics
Portal url
https://ucrisportal.univie.ac.at/en/publications/concentration-of-the-spectral-measure-of-large-wishart-matrices-with-dependent-entries(d0e8579d-cce8-4e0c-87eb-25367e5c4325).html