Open Access
2013 Estimating the covariance of random matrices
Pierre Youssef
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Electron. J. Probab. 18: 1-26 (2013). DOI: 10.1214/EJP.v18-2579


We extend to the matrix setting a recent result of Srivastava-Vershynin about estimating the covariance matrix of a random vector. The result can be interpreted as a quantified version of the law of large numbers for positive semi-definite matrices which verify some regularity assumption. Beside giving examples, we discuss the notion of log-concave matrices and give estimates on the smallest and largest eigenvalues of a sum of such matrices.


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Pierre Youssef. "Estimating the covariance of random matrices." Electron. J. Probab. 18 1 - 26, 2013.


Accepted: 19 December 2013; Published: 2013
First available in Project Euclid: 4 June 2016

zbMATH: 1287.60014
MathSciNet: MR3151727
Digital Object Identifier: 10.1214/EJP.v18-2579

Vol.18 • 2013
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