Limiting spectral distribution for a type of sample covariance matrices

Junshan Xie ()
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Junshan Xie: Zhejiang University

Indian Journal of Pure and Applied Mathematics, 2013, vol. 44, issue 5, 695-710

Abstract: Abstract This paper focuses on the limiting spectral distribution of the sample covariance matrices with information plus noise type data, which is interesting in the area of array signal processing. Assume that the noise data comes from a multivariate population with an isotropic and log-concave probability law. It is shown that in probability, the empirical spectral distribution converges weakly to a non-random probability distribution, whose Stieltjes transform satisfies a certain equation.

Keywords: Sample covariance matrices; empirical spectral distribution; isotropic log-concave random vector (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s13226-013-0037-4

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