Spectral Convergence of Large Block-Hankel Gaussian Random Matrices

Philippe Loubaton; Xavier Mestre

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arXiv · 1704.06651

Spectral Convergence of Large Block-Hankel Gaussian Random Matrices

Philippe Loubaton·Xavier Mestre

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Abstract

This paper studies the behaviour of the empirical eigenvalue distribution of large random matrices W_N W_N* where W_N is a ML x N matrix, whose M block lines of dimensions L x N are mutually independent Hankel matrices constructed from complex Gaussian correlated stationary random sequences. In the asymptotic regime where M \rightarrow \infty, N \rightarrow +\infty and ML/N \rightarrow c > 0, it is shown using the Stieltjes transform approach that the empirical eigenvalue distribution of W_N W_N* has a deterministic behaviour which is characterized.

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BibTeX RIS

Philippe Loubaton, Xavier Mestre. 2017-04-19. Spectral Convergence of Large Block-Hankel Gaussian Random Matrices. https://arxiv.org/abs/1704.06651

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