Spectral norm of circulant type matrices with heavy tailed entries
Arup Bose, Indian Statistical Institute, Kolkata
Rajat Subhra Hazra, Indian Statistical Institute, Kolkata
Koushik Saha, Indian Statistical Institute, Kolkata
Abstract
We first study the probabilistic properties of the spectral norm of scaled
eigenvalues of large dimensional Toeplitz, circulant and symmetric circulant matrices when
the input sequence is independent and identically distributed with appropriate heavy tails.
When the input sequence is a stationary two sided moving average process of infinite order, we
scale the eigenvalues by the spectral density at appropriate ordinates and study the limit for their maximums.
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