Small deviations of the determinants of random matrices with Gaussian entries

Nadezhda V. Volodko

Statistics & Probability Letters, 2014, vol. 84, issue C, 48-53

Abstract: The probability of small deviations of the determinant of the matrix AAT is estimated, where A is an n×∞ random matrix with centered entries having the joint Gaussian distribution. The inequality obtained is sharp in a sense.

Keywords: Random matrices; Determinants; Gaussian sequences; Small deviations (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spl.2013.09.019

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