Concentration of measure and spectra of random matrices: Applications to correlation matrices, elliptical distributions and beyond

El Karoui, Noureddine . The Annals of Applied Probability 2009. 19 (6) :2362-2405

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Bibtex

@article{CIS-256977,
  Author = {El Karoui, Noureddine},
  Title = {Concentration of measure and spectra of random matrices: Applications to correlation matrices, elliptical distributions and beyond},
  Journal = {The Annals of Applied Probability},
  Volume = {19},
  Number = {6},
  Year = {2009},
  Pages = {2362--2405},
  Keywords = {Multivariate statistical analysis, covariance matrices, random matrix theory, eigenvalues of covariance matrices, high-dimensional inference}
}

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