Large deviation theorem for random covariance matrices
classification
🧮 math.CV
math.PR
keywords
randomcovariancedeviationlargematricestheoremcontrolleddistribution
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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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