The empirical eigenvalue distribution of a Gram matrix: From independence to stationarity

Details The empirical eigenvalue distribution of a Gram matrix: From independence to stationarity The empirical eigenvalue distribution of a Gram matrix: From independence to stationarity

2005-02-25

arxiv.org/abs/math/0502535v1

Mathematics

Probability

15 pages

Scientific paper

Consider a $N\times n$ random matrix $Z_n=(Z^n_{j_1 j_2})$ where the individual entries are a realization of a properly rescaled stationary gaussian random field. The purpose of this article is to study the limiting empirical distribution of the eigenvalues of Gram random matrices such as $Z_n Z_n ^*$ and $(Z_n +A_n)(Z_n +A_n)^*$ where $A_n$ is a deterministic matrix with appropriate assumptions in the case where $n\to \infty$ and $\frac Nn \to c \in (0,\infty)$. The proof relies on related results for matrices with independent but not identically distributed entries and substantially differs from related works in the literature (Boutet de Monvel et al., Girko, etc.).

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