Universality for the largest eigenvalue of sample covariance matrices with general population
This paper is aimed at deriving the universality of the largest eigenvalue of a class of high-dimensional real or complex sample covariance matrices of the form WN = Σ 1 /2 XX* Σ 1/2. Here, X = (xij)M,N is an M x N random matrix with independent entries xij, 1 ≤ i ≤ M, 1 ≤ j ≤ N such that Exij = 0,...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Journal Article |
| Language: | English |
| Published: |
2015
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/106732 http://hdl.handle.net/10220/25091 |