Spectrum of random Toeplitz matrices with band structure.
Kargin, Vladislav (2009)
Electronic Communications in Probability [electronic only]
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Displaying similar documents to “Limiting spectral distribution of XX' matrices”
Spectrum of random Toeplitz matrices with band structure.
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Poisson convergence for the largest eigenvalues of heavy tailed random matrices
Antonio Auffinger, Gérard Ben Arous, Sandrine Péché (2009)
Annales de l'I.H.P. Probabilités et statistiques
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We study the statistics of the largest eigenvalues of real symmetric and sample covariance matrices when the entries are heavy tailed. Extending the result obtained by Soshnikov in ( (2004) 82–91), we prove that, in the absence of the fourth moment, the asymptotic behavior of the top eigenvalues is determined by the behavior of the largest entries of the matrix.
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Annales de l'I.H.P. Physique théorique
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Annales de l'I.H.P. Probabilités et statistiques
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