We derive concentration inequalities for functions of the empirical measure of large random matrices with infinitely divisible entries, in particular, stable or heavy tails ones. We also give concentration results for some other functionals of these random matrices, such as the largest eigenvalue or the largest singular value.
Christian Houdré. Hua Xu. "Concentration of the Spectral Measure for Large Random Matrices with Stable Entries." Electron. J. Probab. 13 107 - 134, 2008. https://doi.org/10.1214/EJP.v13-482