Harmonic Means of Wishart Random Matrices

Asad Lodhia

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arXiv · 1905.02357

Harmonic Means of Wishart Random Matrices

Asad Lodhia

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Abstract

We use free probability to compute the limiting spectral properties of the harmonic mean of $n$ i.i.d. Wishart random matrices $\mathbf{W}_i$ whose limiting aspect ratio is $\gamma \in (0,1)$ when $\mathbb{E}[\mathbf{W}_i] = \mathbf{I}$. We demonstrate an interesting phenomenon where the harmonic mean $\mathbf{H}$ of the $n$ Wishart matrices is closer in operator norm to $\mathbb{E}[\mathbf{W}_i]$ than the arithmetic mean $\mathbf{A}$ for small $n$, after which the arithmetic mean is closer. We also prove some results for the general case where the expectation of the Wishart matrices are not the identity matrix.

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Asad Lodhia. 2019-05-07. Harmonic Means of Wishart Random Matrices. https://arxiv.org/abs/1905.02357

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