Limiting spectral distribution for a class of random matrices
Let X = {Xij:i, J = 1, 2,...} be an infinite dimensional random matrix, Tp be a p - p nonnegative definite random matrix independent of X, for p = 1, 2,.... Suppose (1/p) tr Tpk --> Hk a.s. as p --> [infinity] for k = 1, 2,..., and [Sigma]H2k-1/2k < [infinity]. Then the spectral distribution of Ap = (1/n) XpXp'Tp, where Xp = [Xij:i = 1,...,p; J = 1,...,n] tends to a nonrandom limit distribution as p --> [infinity], n --> [infinity], but p/n --> y > 0, under the mild conditions that Xy's are i.i.d. and EX112 < [infinity].
Year of publication: |
1986
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Authors: | Yin, Y. Q. |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 20.1986, 1, p. 50-68
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Publisher: |
Elsevier |
Saved in:
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