Concentration of the Spectral Measure for Large Matrices
Alice Guionnet, Ecole Normale Superieure
0fer Zeitouni, Technion
Abstract
We derive concentration inequalities for functions of the empirical
measure of eigenvalues for large, random, self adjoint matrices,
with not necessarily Gaussian entries. The results presented
apply in particular to non-Gaussian Wigner and Wishart matrices.
We also provide concentration bounds for non commutative
functionals of random matrices.
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