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Distributions on matrix moment spaces

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  • Dette, Holger
  • Guhlich, Matthias
  • Nagel, Jan

Abstract

In this paper we define distributions on the moment spaces corresponding to p×p real or complex matrix measures on the real line with an unbounded support. For random vectors on the unbounded matricial moment spaces we prove the convergence in distribution to the Gaussian orthogonal ensemble or the Gaussian unitary ensemble, respectively.

Suggested Citation

  • Dette, Holger & Guhlich, Matthias & Nagel, Jan, 2014. "Distributions on matrix moment spaces," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 17-31.
    • Handle: RePEc:eee:jmvana:v:131:y:2014:i:c:p:17-31
    DOI: 10.1016/j.jmva.2014.06.015
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    References listed on IDEAS

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    1. Gamboa, Fabrice & Nagel, Jan & Rouault, Alain & Wagener, Jens, 2012. "Large deviations for random matricial moment problems," Journal of Multivariate Analysis, Elsevier, vol. 106(C), pages 17-35.
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