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

The existence of limiting spectral distribution (LSD) of the product of two random matrices is proved. One of the random matrices is a sample covariance matrix and the other is an arbitrary Hermitian matrix. Specially, the density function of LSD of SnWn is established, where Sn is a sample covariance matrix and Wn is Wigner matrix.

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Year of publication:	2007
Authors:	Bai, Z.D. ; Miao, Baiqi ; Jin, Baisuo
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 98.2007, 1, p. 76-101
Publisher:	Elsevier
Keywords:	Limiting spectral distribution Product of random matrices Large dimensional random matrices

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

Persistent link: https://www.econbiz.de/10005021361