Hadamard product of independent random sample covariance matrices with correlation structure

Lucas Benigni, Ziyad Zaklani

We compute the asymptotic empirical eigenvalue distribution of the matrix $M={⨀}_{i=1}^k\frac{1}{d_i}{X}^{(i)}{X^{(i)}}^{\top }$ where $X^{(i)}\in {\mathbb{R}}^{n\times d_i}$ are i…