On limit theorem for the eigenvalues of product of two random matrices

Z.D. Bai, Baiqi Miao and Baisuo Jin

Journal of Multivariate Analysis, 2007, vol. 98, issue 1, 76-101

Abstract: The existence of limiting spectral distribution (LSD) of the product of two random matrices is proved. One of the random matrices is a sample covariance matrix and the other is an arbitrary Hermitian matrix. Specially, the density function of LSD of SnWn is established, where Sn is a sample covariance matrix and Wn is Wigner matrix.

Keywords: Limiting; spectral; distribution; Product; of; random; matrices; Large; dimensional; random; matrices (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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