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arXiv · 1707.07174

Large deviation theorem for random covariance matrices

Tien-Cuong Dinh·Duc-Viet Vu
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Abstract

We establish a large deviation theorem for the empirical spectral distribution of random covariance matrices whose entries are independent random variables with mean 0, variance 1 and having controlled forth moments. Some new properties of Laguerre polynomials are also given.

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Tien-Cuong Dinh, Duc-Viet Vu. 2017-07-22. Large deviation theorem for random covariance matrices. https://arxiv.org/abs/1707.07174

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