Document Zbl 1188.15035

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Concentration of the spectral measure of large Wishart matrices with dependent entries. (English) Zbl 1188.15035

Electron. Commun. Probab. 14, 334-342 (2009).

Summary: We derive concentration inequalities for the spectral measure of large random matrices, allowing for certain forms of dependence. Our main focus is on empirical covariance (Wishart) matrices, but general symmetric random matrices are also considered.

Cited in 11 Documents

MSC:

15B52	Random matrices (algebraic aspects)
60F10	Large deviations
15A42	Inequalities involving eigenvalues and eigenvectors

Keywords:

Wishart matrices; concentration inequalities; spectral measure; random matrices; covariance matrices

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