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https://doi.org/10.1016/j.jmva.2006.06.001
| Title: | On limit theorem for the eigenvalues of product of two random matrices | Authors: | Bai, Z.D. Miao, B. Jin, B. |
Keywords: | Large dimensional random matrices Limiting spectral distribution Product of random matrices |
Issue Date: | Jan-2007 | Citation: | Bai, Z.D., Miao, B., Jin, B. (2007-01). On limit theorem for the eigenvalues of product of two random matrices. Journal of Multivariate Analysis 98 (1) : 76-101. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jmva.2006.06.001 | Abstract: | 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 Sn Wn is established, where Sn is a sample covariance matrix and Wn is Wigner matrix. © 2006 Elsevier Inc. All rights reserved. | Source Title: | Journal of Multivariate Analysis | URI: | http://scholarbank.nus.edu.sg/handle/10635/105257 | ISSN: | 0047259X | DOI: | 10.1016/j.jmva.2006.06.001 |
| Appears in Collections: | Staff Publications |
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