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Showing 2007 · math.PRShow all
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math.PR2007★ 13 cited
Large deviations for eigenvalues of sample covariance matrices, with applications to mobile communication systems
Anne Fey, Remco van der Hofstad, Marten Klok
We study sample covariance matrices of the form , where is a matrix with i.i.d. mean zero entries. This is a generalization of so-called Wishart m…
math.PR2007
A Clark-Ocone formula in UMD Banach spaces
Jan Maas, Jan van Neerven
Let H be a separable real Hilbert space and let F = (F_t)_{t\in [0,T]} be the augmented filtration generated by an H-cylindrical Brownian motion W_H on [0,T]. We prove that if E is…