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 Electronic Journal of Probability > Vol. 13 (2008) > Paper 5 open journal systems 


Concentration of the Spectral Measure for Large Random Matrices with Stable Entries

Christian Houdré, School of Mathematics, Georgia Tech.
Hua Xu, School of Mathematics, Georgia Tech.


Abstract
We derive concentration inequalities for functions of the empirical measure of large random matrices with infinitely divisible entries, in particular, stable or heavy tails ones. We also give concentration results for some other functionals of these random matrices, such as the largest eigenvalue or the largest singular value.


Full text: PDF

Pages: 107-134

Published on: January 30, 2008
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Electronic Journal of Probability. ISSN: 1083-6489