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Concentration of the spectral measure of large Wishart matrices with dependent entries
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Adityanand Guntuboyina, Yale University
Hannes Leeb, Yale University
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Abstract
We derive concentration inequalities for the spectral measure of
large random matrices, allowing for certain forms of dependence.
Our main focus is on empirical covariance (Wishart) matrices, but
general symmetric random matrices are also considered.
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Full text: PDF
Pages: 334-342
Published on: August 12, 2009
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Electronic Communications in Probability. ISSN: 1083-589X |
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