Small deviations of the determinants of random matrices with Gaussian entries

The probability of small deviations of the determinant of the matrix AAT is estimated, where A is an n×∞ random matrix with centered entries having the joint Gaussian distribution. The inequality obtained is sharp in a sense.

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Year of publication:	2014
Authors:	Volodko, Nadezhda V.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 84.2014, C, p. 48-53
Publisher:	Elsevier
Subject:	Random matrices \| Determinants \| Gaussian sequences \| Small deviations

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

Persistent link: https://www.econbiz.de/10011039921