A note on the convergence rate of the spectral distributions of large random matrices

Statistics and Probability Letters

Volumn 34, Issue 1, 1997, Pages 95-101

  Bai, Z D ^a   Miao, Baiqi ^b   Tsay, Jhishen ^a  

^a NATIONAL SUN YAT SEN UNIVERSITY   (Taiwan)

^b UNIVERSITY OF SCIENCE AND TECHNOLOGY OF CHINA   (China)

Author keywords

Convergence rate; Mar enko Pastur law; Random matrices; Sample covariance matrix; Semicircular law; Wigner matrix

Indexed keywords

EID: 84983319269     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-7152(96)00170-8     Document Type: Article

References (7)

1. Bai, Z.D., Convergence rate of expected spectral distributions of large random matrices. Part I. Wigner matrices. Ann. Probab. 21 (1993), 625–648.
2. Bai, Z.D., Convergence rate of expected spectral distributions of large random matrices, Part II. Sample covariance matrices. Ann. Probab. 21 (1993), 625–648.
3. Bai, Z.D., Methodologies in spectral analysis of large dimensional random matrices, a review. 1996 (to appear).
4. Bai, Z.D., Yin, Y.Q., Necessary and sufficient conditions for the almost sure convergence of the largest eigenvalue of Wigner matrices. Ann. Probab. 16 (1988), 1329–1741.
5. Horn, R.A., Johnson, C.H., Matrix Analysis. 1985, Cambridge University Press, New York.
6. Marčenko, V.A., Pastur, L.A., Distribution of eigenvalues for some sets of random matrices. Mat. Sb. 72 (1967), 507–536.
7. Marčenko, V.A., Pastur, L.A., Distribution of eigenvalues for some sets of random matrices. Math USSR-Sb 1 (1967), 457–483.