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2008 Another look at the moment method for large dimensional random matrices
Arup Bose, Arnab Sen
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Electron. J. Probab. 13: 588-628 (2008). DOI: 10.1214/EJP.v13-501


The methods to establish the limiting spectral distribution (LSD) of large dimensional random matrices includes the&nbsp; well known moment method which invokes the trace formula. Its success has been demonstrated in several types of matrices such as the Wigner matrix and the sample variance covariance matrix. In a recent article Bryc, Dembo and Jiang (2006) establish the LSD for the random Toeplitz and Hankel matrices using the moment method.&nbsp; They perform the necessary counting of terms in the trace by splitting the relevant sets into equivalent classes and relating the limits of the counts to certain volume calculations.<br> <br> We build on their work and present a unified approach. This helps provide&nbsp; relatively short and easy proofs for the LSD of common matrices while at the same time providing insight into the nature of different LSD and their interrelations. By extending these methods we are also able to deal with matrices with appropriate dependent entries.


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Arup Bose. Arnab Sen. "Another look at the moment method for large dimensional random matrices." Electron. J. Probab. 13 588 - 628, 2008.


Accepted: 12 April 2008; Published: 2008
First available in Project Euclid: 1 June 2016

zbMATH: 1190.60013
MathSciNet: MR2399292
Digital Object Identifier: 10.1214/EJP.v13-501

Primary: 60F05
Secondary: 60F15 , 60G57 , 62E20

Keywords: Bounded Lipschitz metric , Circulant matrix , Eigenvalues , Hankel matrix , large dimensional random matrices , limit , palindromic matrix , Reverse circulant matrix , sample variance covariance matrix , symmetric circulant matrix , Toeplitz matrix , Wigner matrix

Vol.13 • 2008
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