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A phase transition for the limiting spectral density of random matrices
Olga Friesen, Matthias Löwe
We analyze the spectral distribution of symmetric random matrices with correlated entries. While we assume that the diagonals of these random matrices are stochastically independen…
Gaussian Fluctuations for Sample Covariance Matrices with Dependent Data
Olga Friesen, Matthias Löwe, Michael Stolz
It is known (Hofmann-Credner and Stolz (2008)) that the convergence of the mean empirical spectral distribution of a sample covariance matrix W_n = 1/n Y_n Y_n^t to the Marčenko-Pa…
On the Spectral Density of Large Sample Covariance Matrices with Markov Dependent Columns
Olga Friesen, Matthias Löwe
We investigate the spectral distribution of large sample covariance matrices with independent columns and entries in the columns that stem from Markov chains. We characterize the l…
The semicircle law for matrices with independent diagonals
Olga Friesen, Matthias Löwe
We investigate the spectral distribution of random matrix ensembles with correlated entries. We consider symmetric matrices with real valued entries and stochastically independent…