Strong convergence of the empirical distribution of eigenvalues of sample covariance matrices with a perturbation matrix

Guangming Pan

Journal of Multivariate Analysis, 2010, vol. 101, issue 6, 1330-1338

Abstract: Let , where is a random symmetric matrix, a random symmetric matrix, and with being independent real random variables. Suppose that , and are independent. It is proved that the empirical spectral distribution of the eigenvalues of random symmetric matrices converges almost surely to a non-random distribution.

Keywords: Empirical; distribution; Random; matrices; Stieltjes; transform (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (5)

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