On the spectral norm of large heavy-tailed random matrices with strongly dependent rows and columns

Oliver Pfaffel

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arXiv · 1211.7221

On the spectral norm of large heavy-tailed random matrices with strongly dependent rows and columns

Oliver Pfaffel

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Abstract

We study a new random matrix ensemble $X$ which is constructed by an application of a two dimensional linear filter to a matrix of iid random variables with infinite fourth moments. Our result gives asymptotic lower and upper bounds for the spectral norm of the (centered) sample covariance matrix $XX^\T$ when the number of columns as well es the number of rows of $X$ tend to infinity.

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Oliver Pfaffel. 2012-11-30. On the spectral norm of large heavy-tailed random matrices with strongly dependent rows and columns. https://arxiv.org/abs/1211.7221

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