Concentration of the spectral measure of large Wishart matrices with dependent entries

Details Concentration of the spectral measure of large Wishart matrices with dependent entries Concentration of the spectral measure of large Wishart matrices with dependent entries

2008-10-15

arxiv.org/abs/0810.2753v1

Mathematics

Statistics Theory

Scientific paper

We derive concentration inequalities for the spectral measure of large random
matrices, allowing for certain forms of dependence. Our main focus is on
empirical covariance (Wishart) matrices, but general symmetric random matrices
are also considered.

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