Distributions on matrix moment spaces

Holger Dette, Matthias Guhlich and Jan Nagel

Journal of Multivariate Analysis, 2014, vol. 131, issue C, 17-31

Abstract: In this paper we define distributions on the moment spaces corresponding to p×p real or complex matrix measures on the real line with an unbounded support. For random vectors on the unbounded matricial moment spaces we prove the convergence in distribution to the Gaussian orthogonal ensemble or the Gaussian unitary ensemble, respectively.

Keywords: Moment spaces; Random matrices; Matrix measures; Random moments; Gaussian ensemble; Laguerre ensemble; Wigner’s semicircle law; Marchenko–Pastur law (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:131:y:2014:i:c:p:17-31

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DOI: 10.1016/j.jmva.2014.06.015

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