Additive/multiplicative free subordination property and limiting eigenvectors of spiked additive deformations of Wigner matrices and spiked sample covariance matrices
| Autor: | Mireille Capitaine |
|---|---|
| Přispěvatelé: | Institut de Mathématiques de Toulouse UMR5219 (IMT), Université Toulouse Capitole (UT Capitole), Université de Toulouse (UT)-Université de Toulouse (UT)-Institut National des Sciences Appliquées - Toulouse (INSA Toulouse), Institut National des Sciences Appliquées (INSA)-Université de Toulouse (UT)-Institut National des Sciences Appliquées (INSA)-Université Toulouse - Jean Jaurès (UT2J), Université de Toulouse (UT)-Université Toulouse III - Paul Sabatier (UT3), Université de Toulouse (UT)-Centre National de la Recherche Scientifique (CNRS), Institut National des Sciences Appliquées - Toulouse (INSA Toulouse), Institut National des Sciences Appliquées (INSA)-Institut National des Sciences Appliquées (INSA)-Université Toulouse 1 Capitole (UT1), Université Fédérale Toulouse Midi-Pyrénées-Université Fédérale Toulouse Midi-Pyrénées-Université Toulouse - Jean Jaurès (UT2J)-Université Toulouse III - Paul Sabatier (UT3), Université Fédérale Toulouse Midi-Pyrénées-Centre National de la Recherche Scientifique (CNRS) |
| Jazyk: | angličtina |
| Rok vydání: | 2013 |
| Předmět: |
Statistics and Probability
Wishart distribution Free probability General Mathematics 01 natural sciences 010104 statistics & probability Matrix (mathematics) Estimation of covariance matrices Spiked sample covariance matrices FOS: Mathematics 0101 mathematics Eigenvalues and eigenvectors Mathematics Quantitative Biology::Neurons and Cognition Probability (math.PR) 010102 general mathematics Multiplicative function Mathematical analysis Eigenvalues Spiked deformations of Wigner matrices Sample mean and sample covariance [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] Statistics Probability and Uncertainty Random matrices Subordination property Eigenvectors 15B52 60B20 46L54 15A18 Random matrix Mathematics - Probability |
| Zdroj: | Journal of Theoretical Probability Journal of Theoretical Probability, 2013, 26 (3), pp.595-648 Journal of Theoretical Probability, Springer, 2013, 26 (3), pp.595-648 |
| ISSN: | 0894-9840 1572-9230 |
| Popis: | When some eigenvalues of a spiked multiplicative resp. additive deformation model of a Hermitian Wigner matrix resp. a sample covariance matrix separate from the bulk, we study how the corresponding eigenvectors project onto those of the perturbation. We point out that the inverse of the subordination function relative to the free additive resp. multiplicative convolution plays an important part in the asymptotic behavior. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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