Eigenvalue Density of the Wishart Matrix and Large Deviations
作者： Fumio Hiai , Dénes Petz
DOI: 10.1142/S021902579800034X
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摘要: A large deviation theorem is obtained for a certain sequence of random measures which includes the empirical eigenvalue distribution Wishart matrices, as matrix size tends to infinity. The rate function convex and one its ingredients logarithmic energy. In case singular matrix, limit has an atom.
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