UNIVERSALITY OF COVARIANCE MATRICES
UNIVERSALITY OF COVARIANCE MATRICES
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Hayward: Institute of Mathematical Statistics
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English
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Hayward: Institute of Mathematical Statistics
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In this paper we prove the universality of covariance matrices of the form HN × N = X†X where X is an M × N rectangular matrix with independent real valued entries xij satisfying Exij = 0 and $Ex_{ij}^2 = \frac{1}{M}, N, M \to \ infty $. Furthermore it is assumed that these entries have sub-exponential tails or sufficiently high number of moments....
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UNIVERSALITY OF COVARIANCE MATRICES
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TN_cdi_projecteuclid_primary_oai_CULeuclid_euclid_aoap_1398258093
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_projecteuclid_primary_oai_CULeuclid_euclid_aoap_1398258093
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ISSN
1050-5164
E-ISSN
2168-8737
DOI
10.1214/13-AAP939
