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Limiting spectral distribution of XX' matrices

Arup BoseSreela GangopadhyayArnab Sen — 2010

Annales de l'I.H.P. Probabilités et statistiques

The methods to establish the limiting spectral distribution (LSD) of large dimensional random matrices includes the well-known moment method which invokes the trace formula. Its success has been demonstrated in several types of matrices such as the Wigner matrix and the sample covariance matrix. In a recent article Bryc, Dembo and Jiang [ (2006) 1–38] establish the LSD for random Toeplitz and Hankel matrices using the moment method. They perform the necessary counting of terms in...

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