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math.PR2009
Characteristic Polynomials of Sample Covariance Matrices: The Non-Square Case
Holger Kösters
We consider the sample covariance matrices of large data matrices which have i.i.d. complex matrix entries and which are non-square in the sense that the difference between the num…
math.PR2008★ 12 cited
The quenched invariance principle for random walks in random environments admitting a bounded cycle representation
Jean-Dominique Deuschel, Holger Kösters
We derive a quenched invariance principle for random walks in random environments whose transition probabilities are defined in terms of weighted cycles of bounded length. To this…
math.PR2005★ 2 cited
Difference prophet inequalities for [0,1]-valued i.i.d. random variables with cost for observations
Holger Kosters
Let X_1,X_2,... be a sequence of [0,1]-valued i.i.d. random variables, let c\geq 0 be a sampling cost for each observation and let Y_i=X_i-ic, i=1,2,.... For n=1,2,..., let M(Y_1,.…