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 Electronic Communications in Probability > Vol. 15(2010) > Paper 29 open journal systems 


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.


Full text: PDF

Pages: 299-313

Published on: July 23, 2010


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Electronic Communications in Probability. ISSN: 1083-589X