On limiting spectral distribution of product of two random matrices when the underlying distribution is isotropic

Z. D. Bai, Y. Q. Yin and P. R. Krishnaiah

Journal of Multivariate Analysis, 1986, vol. 19, issue 1, 189-200

Abstract: Let X be distributed independent of a nonnegative definite symmetric random matrix T, where X = [x1,...,xn]: p - n and x1,...,xn is a sample from an isotropic population and the second moments of the norm xi (i = 1,2,...,n) exist. In this paper, the authors prove that the limit of the spectral distribution of ST/n exists where S = XX'.

Keywords: isctropic; populations; large; dimensions; limiting; distribution; product; of; two; random; matrices; spectral; distribution (search for similar items in EconPapers)
Date: 1986
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Citations: View citations in EconPapers (4)

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