A limit theorem for the eigenvalues of product of two random matrices

The existence of limit spectral distribution of the product of two independent random matrices is proved when the number of variables tends to infinity. One of the above matrices is the Wishart matrix and the other is a symmetric nonnegative definite matrix.

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Year of publication:	1983
Authors:	Yin, Y. Q. ; Krishnaiah, P. R.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 13.1983, 4, p. 489-507
Publisher:	Elsevier
Keywords:	Limit theorem product of random matrices large dimensional random matrices eigenvalues distributions

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005199471