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2008 Concentration of the Spectral Measure for Large Random Matrices with Stable Entries
Christian Houdré, Hua Xu
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Electron. J. Probab. 13: 107-134 (2008). DOI: 10.1214/EJP.v13-482

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.

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Christian Houdré. Hua Xu. "Concentration of the Spectral Measure for Large Random Matrices with Stable Entries." Electron. J. Probab. 13 107 - 134, 2008. https://doi.org/10.1214/EJP.v13-482

Information

Accepted: 30 January 2008; Published: 2008
First available in Project Euclid: 1 June 2016

zbMATH: 1191.60012
MathSciNet: MR2375601
Digital Object Identifier: 10.1214/EJP.v13-482

Subjects:
Primary: 60E07
Secondary: 15A42, 15A52, 60F10

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