On limiting spectral distribution of product of two random matrices when the underlying distribution is isotropic

Let X be distributed independent of a nonnegative definite symmetric random matrix T, where X = [x1,...,xn]: p - n and x1,...,xn is a sample from an isotropic population and the second moments of the norm xi (i = 1,2,...,n) exist. In this paper, the authors prove that the limit of the spectral distribution of ST/n exists where S = XX'.

MoreLess

Year of publication:	1986
Authors:	Bai, Z. D. ; Yin, Y. Q. ; Krishnaiah, P. R.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 19.1986, 1, p. 189-200
Publisher:	Elsevier
Keywords:	isctropic populations large dimensions limiting distribution product of two random matrices spectral distribution

More details

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

Persistent link: https://www.econbiz.de/10005199906