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://ucris.univie.ac.at/portal/en/publications/concentration-of-the-spectral-measure-of-large-wishart-matrices-with-dependent-entries(d0e8579d-cce8-4e0c-87eb-25367e5c4325).html