Electronic Communications in Probability

A note on the Marchenko-Pastur law for a class of random matrices with dependent entries

Sean O'Rourke

Full-text: Open access

Abstract

We consider a class of real random matrices with dependent entries and show that the limiting empirical spectral distribution is given by the Marchenko-Pastur law. Additionally, we establish a rate of convergence of the expected empirical spectral distribution.

Article information

Source
Electron. Commun. Probab., Volume 17 (2012), paper no. 28, 13 pp.

Dates
Accepted: 17 July 2012
First available in Project Euclid: 7 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ecp/1465263161

Digital Object Identifier
doi:10.1214/ECP.v17-2020

Mathematical Reviews number (MathSciNet)
MR2955493

Zentralblatt MATH identifier
1251.60006

Subjects
Primary: 60B20: Random matrices (probabilistic aspects; for algebraic aspects see 15B52)
Secondary: 47A10: Spectrum, resolvent 15A18: Eigenvalues, singular values, and eigenvectors

Keywords
Random Matrix Theory Marchenko-Pastur law Stieltjes transform

Rights
This work is licensed under a Creative Commons Attribution 3.0 License.

Citation

O'Rourke, Sean. A note on the Marchenko-Pastur law for a class of random matrices with dependent entries. Electron. Commun. Probab. 17 (2012), paper no. 28, 13 pp. doi:10.1214/ECP.v17-2020. https://projecteuclid.org/euclid.ecp/1465263161


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