Concentration of the spectral measure of large Wishart matrices with dependent entries

Abstract

We derive concentration inequalities for the spectral measure of large random matrices, allowing for certain forms of dependence. Our main focus is on empirical covariance (Wishart) matrices, but general symmetric random matrices are also considered.

References in corpus (2)

• Large deviations and stochastic calculus for large random matrices
• Convex Multivariable Trace Functions