Another look at the moment method for large dimensional random matrices

By Arup Bose, Arnab Sen. 2008

66 citations recorded by the source corpus.

The methods to establish the limiting spectral distribution (LSD) of large dimensional random matrices includes the well known moment method which invokes the trace formula. Its success has been demonstrated in several types of matrices such as the Wigner matrix and the sample variance covariance matrix. In a recent article Bryc, Dembo and Jiang (2006) establish the LSD for the random Toeplitz and Hankel matrices using the moment method. They perform the necessary counting of terms in the trace by splitting the relevant sets into equivalent classes and relating the limits of the counts to certain volume calculations. We build on their work and present a unified approach. This helps provide relatively short and easy proofs for the LSD of common matrices while at the same time providing insight into the nature of different LSD and their interrelations. By extending these methods we are also able to deal with matrices with appropriate dependent entries.

Subfields: Discrete Mathematics and Combinatorics, Mathematical Physics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/3c6146b86ba7fb671b2d4440cb7f9f76dab21d14

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In Discrete Mathematics and Combinatorics

In Mathematical Physics

In Statistics and Probability

Citations in the corpus

Random matrix theory in statistics: A review (2014, background): “Further theoretical developments for such matrices were made by Bose and Sen (2008).”