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Universality in complex Wishart ensembles for general covariance matrices with 2 distinct eigenvalues

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  • Mo, M.Y.

Abstract

We considered NxN Wishart ensembles in the class (complex Wishart matrices with M degrees of freedom and covariance matrix [Sigma]N) such that N0 eigenvalues of [Sigma]N are 1 and N1=N-N0 of them are a. We studied the limit as M, N, N0 and N1 all go to infinity such that , and 0

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  • Mo, M.Y., 2010. "Universality in complex Wishart ensembles for general covariance matrices with 2 distinct eigenvalues," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1203-1225, May.
    • Handle: RePEc:eee:jmvana:v:101:y:2010:i:5:p:1203-1225
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    References listed on IDEAS

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    1. Silverstein, J. W., 1995. "Strong Convergence of the Empirical Distribution of Eigenvalues of Large Dimensional Random Matrices," Journal of Multivariate Analysis, Elsevier, vol. 55(2), pages 331-339, November.
    2. Silverstein, J. W. & Choi, S. I., 1995. "Analysis of the Limiting Spectral Distribution of Large Dimensional Random Matrices," Journal of Multivariate Analysis, Elsevier, vol. 54(2), pages 295-309, August.
    3. Baik, Jinho & Silverstein, Jack W., 2006. "Eigenvalues of large sample covariance matrices of spiked population models," Journal of Multivariate Analysis, Elsevier, vol. 97(6), pages 1382-1408, July.
    4. Silverstein, J. W. & Bai, Z. D., 1995. "On the Empirical Distribution of Eigenvalues of a Class of Large Dimensional Random Matrices," Journal of Multivariate Analysis, Elsevier, vol. 54(2), pages 175-192, August.
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