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Results tagged with random-matrices
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user 25437
Statistics of spectral properties of matrix-valued random variables.
12
votes
What kind of random matrices have rapidly decaying singular values?
I hope I understood the OP correctly, in case not please let me know. And I will discuss the case of eigenvalue instead of singular value without much loss of generality.
In case you are only interes …
- 8,071
6
votes
How fast can extreme eigenvalues of the average of random matrices converge to their expecta...
A possible relevant post What kind of random matrices have rapidly decaying singular values?. In that post I discussed the distribution of maximal eigenvalue of a random matrix based on the result [Jo …
- 8,071
1
vote
Expected value of Bernoulli quadratic forms
The expectation can be computed in closed form, and I think that without further assumptions on entries of the matrix $Y$, the Jensen bound is sharp according to following calculation:
$\begin{align}\ …
- 8,071
3
votes
Accepted
Bounds on the eigenvalues of the covariance matrix of a sub-Gaussian vector
This serves as a pointer and my thought on the OP's question of bounding the spectrum of covariance matrix of subgaussian (mean zero )random vector. The case of spectrum of covariance matrix of gaussi …
- 8,071
9
votes
Accepted
References for reasoning about the spectrum of a convex body?
A very direct result giving characteristic function control for uniform measures on compact convex sets and hence spectrum is [Kulikova& Prokhorov].
It sounds to me that all you want to study is th …
- 8,071