Analysis of the limiting spectral distribution of large dimensional random matrices

@article{Silverstein1995AnalysisOT,
title={Analysis of the limiting spectral distribution of large dimensional random matrices},
author={Jack W. Silverstein and Sang Il Choi},
journal={Journal of Multivariate Analysis},
year={1995},
volume={54},
pages={295-309}
}
• Published 1 August 1995
• Mathematics
• Journal of Multivariate Analysis
Results on the analytic behavior of the limiting spectral distribution of matrices of sample covariance type, studied in Marcenko and Pastur [2] and Yin [8], are derived. Through an 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 resembles [formula] for most cases of x0 in the boundary of its support. A complete analysis of a way to determine its support…
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