The empirical eigenvalue distribution of a Gram matrix: From independence to stationarity

W. Hachem; P. Loubaton; J. Najim

paper

The empirical eigenvalue distribution of a Gram matrix: From independence to stationarity

arXiv:math/0502535

Abstract

Consider a $N \times n$ random matrix $Z_{n} = (Z_{j_{1} j_{2}}^{n})$ where the individual entries are a realization of a properly rescaled stationary gaussian random field. The purpose of this article is to study the limiting empirical distribution of the eigenvalues of Gram random matrices such as $Z_{n} Z_{n}^{*}$ and $(Z_{n} + A_{n}) (Z_{n} + A_{n})^{*}$ where $A_{n}$ is a deterministic matrix with appropriate assumptions in the case where $n \to \infty$ and $\frac{N}{n} \to c \in (0, \infty)$ . The proof relies on related results for matrices with independent but not identically distributed entries and substantially differs from related works in the literature (Boutet de Monvel et al., Girko, etc.).

15 pages