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Statistics of spectral properties of matrix-valued random variables.

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Random matrix theory: accounting for mean

Assume a random matrix, denoted as $X$, which is an $n$ by $T$ matrix, $T\geq n$. While I understand the typical scenario where the random variables $X_{ij}$ are sampled from a $\mathcal{N}(0,\sigma_{ …
Pooja Algikar's user avatar