Abstract
We give new exponential inequalities for the spectral measure of random Wishart matrices. These results give in particular useful bounds when these matrices have the form $M=YY^T$, in the case where $Y$ is a $p\times n$ random matrix with independent enties (weaker conditions are also proposed), and $p$ and $n$ are large.
Citation
Bernard Delyon. "Concentration inequalities for the spectral measure of random matrices." Electron. Commun. Probab. 15 549 - 562, 2010. https://doi.org/10.1214/ECP.v15-1585
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