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 $W=\frac{1}{n}C{C}^T$, where $C$ is a $k\times n$ matrix with i.i.d. mean zero entries. This is a generalization of so-called Wishart m…