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arXiv · 2302.01711

Analysis of the limiting spectral distribution of large dimensional General information-plus-noise type matrices

Huanchao Zhou·Jiang Hu·Zhidong Bai·Jack W. Silverstein
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Abstract

In this paper, we derive the analytical behavior of the limiting spectral distribution of non-central covariance matrices of the "general information-plus-noise" type, as studied in [14]. Through the equation defining its Stieltjes transform, it is shown that the limiting distribution has a continuous derivative away from zero, the derivative being analytic wherever it is positive, and we show the determination criterion for its support. We also extend the result in [14] to allow for all possible ratios of row to column of the underlying random matrix.

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Huanchao Zhou, Jiang Hu, Zhidong Bai, Jack W. Silverstein. 2023-02-03. Analysis of the limiting spectral distribution of large dimensional General information-plus-noise type matrices. https://arxiv.org/abs/2302.01711

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