Analysis of the limiting spectral distribution of large dimensional information-plus-noise type matrices

R. Brent Dozier and Jack W. Silverstein

Journal of Multivariate Analysis, 2007, vol. 98, issue 6, 1099-1122

Abstract: A derivation of results on the analytic behavior of the limiting spectral distribution of sample covariance matrices of the "information-plus-noise" type, as studied in Dozier and Silverstein [On the empirical distribution of eigenvalues of large dimensional information-plus-noise type matrices, 2004, submitted for publication], is presented. It is shown that, away from zero, the limiting distribution possesses a continuous density. The density is analytic where it is positive and, for the most relevant cases of a in the boundary of its support, exhibits behavior closely resembling that of for x near a. A procedure to determine its support is also analyzed.

Keywords: Random; matrix; Empirical; distribution; function; of; eigenvalues; Stieltjes; transform (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (6)

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