Mathematics – Probability
Scientific paper
2004-11-15
Mathematics
Probability
25 pages, revised version. Assumption (A2) has been relaxed
Scientific paper
Consider a $N\times n$ random matrix $Y_n=(Y_{ij}^{n})$ where the entries are given by $Y_{ij}^{n}=\frac{\sigma(i/N,j/n)}{\sqrt{n}} X_{ij}^{n}$, the $X_{ij}^{n}$ being centered i.i.d. and $\sigma:[0,1]^2 \to (0,\infty)$ being a continuous function called a variance profile. Consider now a deterministic $N\times n$ matrix $\Lambda_n=(\Lambda_{ij}^{n})$ whose non diagonal elements are zero. Denote by $\Sigma_n$ the non-centered matrix $Y_n + \Lambda_n$. Then under the assumption that $\lim_{n\to \infty} \frac Nn =c>0$ and $$ \frac{1}{N} \sum_{i=1}^{N} \delta_{(\frac{i}{N}, (\Lambda_{ii}^n)^2)} \xrightarrow[n\to \infty]{} H(dx,d\lambda), $$ where $H$ is a probability measure, it is proven that the empirical distribution of the eigenvalues of $ \Sigma_n \Sigma_n^T$ converges almost surely in distribution to a non random probability measure. This measure is characterized in terms of its Stieltjes transform, which is obtained with the help of an auxiliary system of equations. This kind of results is of interest in the field of wireless communication.
Hachem Walid
Loubaton Philippe
Najim Jamal
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