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Strong convergence of the empirical distribution of eigenvalues of sample covariance matrices with a perturbation matrix
Authors:Guangming Pan
Institution:Division of Mathematical Sciences, School of Physical and Mathematical Sciences, Nanyang Technological University, Singapore
Abstract:Let View the MathML source, where View the MathML source is a random symmetric matrix, View the MathML source a random symmetric matrix, and View the MathML source with View the MathML source being independent real random variables. Suppose that View the MathML source, View the MathML source and View the MathML source are independent. It is proved that the empirical spectral distribution of the eigenvalues of random symmetric matrices View the MathML source converges almost surely to a non-random distribution.
Keywords:primary  15A52  secondary  15A90  60E05
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