Document Zbl 1225.15032

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Concentration inequalities for the spectral measure of random matrices. (English) Zbl 1225.15032

Electron. Commun. Probab. 15, 549-562 (2010).

Summary: We give new exponential inequalities for the spectral measure of random Wishart matrices. These results give in particular useful bounds when these matrices have the form \(M=YY^T\), in the case where \(Y\) is a \(p\times n\) random matrix with independent entries (weaker conditions are also proposed), and \(p\) and \(n\) are large.

Cited in 2 Documents

MSC:

15B52	Random matrices (algebraic aspects)
60B20	Random matrices (probabilistic aspects)
15A45	Miscellaneous inequalities involving matrices
60F10	Large deviations
60B05	Probability measures on topological spaces

Keywords:

exponential inequalities; spectral measure; random Wishart matrices

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