Spectral analysis of large dimensional random matrices

Spectral analysis of large dimensional random matrices

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Bibliographic Details
Main Authors : Bai Zhidong (Auteur), Silverstein Jack William (Auteur)
Format : Book
Language : anglais
Title statement : Spectral analysis of large dimensional random matrices / Zhidong Bai, Jack W. Silverstein
Edition : 2nd edition
Published : New York, Heidelberg, London [etc.] : Springer , cop. 2010
Physical Description : 1 vol. (XVI- 551 p.)
Series : Springer series in statistics
Subjects :
Matrices aléatoires
Spectroscopie
Graphes aléatoires
Probabilités
  • 1. Introduction
  • 2. Wigner matrices and semicircular law
  • 3. sample covariance matrices and the Marcenko-Pastur law
  • 4. Product of two matrices
  • 5. Limits of extreme eigenvalues
  • 6. Spectral separation
  • 7. Semicircular law for Hadamard products
  • 8. Convergence rates of ESD
  • 9. CLT for linear spectral statistics
  • 10. Eigenvectors of sample covariance matrices
  • 11. Circular law
  • 12. Some applications of RMT
  • A. Some results in linear algebra
  • B. Miscellanies