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Limiting distribution of "scatter matrix" $\frac{1}{n}XX^T:=\frac{1}{n}\sum_{i=1}^nx_ix_i^T$ for iid $x_1,\ldots,x_n \in \mathbb R^p$
Let $x_1,\ldots,x_n$ be drawn iid from such "nice" distribution on $\mathbb R^p$ (but possibly very general!), and let $X$ be the $n$-by-$p$ matrix formed by vertically stacking the $x_i$'s.
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- 6,853
1
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0
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87
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Conditonal convergence implies convergence?
Note : All measures below are probability measures.
Let $\mu_n(X,Y)$ be a random probability measure on $\mathbb C$ depending on two random variables X and Y with values in $\mathbb{R}^N$.
Actually,...
- 245
0
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156
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Total variation convergence of random matrices and convergence of empirical spectral distributions
In the paper https://arxiv.org/pdf/1411.5713.pdf, on page 17, the authors prove in Theorem 7 that the total variation distance between the joint distribution of the entries of certain Wishart matrices ...
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