Eigenvalue density of the wishart matrix and large deviations

Fumio Hiai, Dénes Petz

Research output: Contribution to journalArticle

21 Citations (Scopus)

Abstract

A large deviation theorem is obtained for a certain sequence of random measures which includes the empirical eigenvalue distribution of Wishart matrices, as the matrix size tends to infinity. The rate function is convex and one of its ingredients is the logarithmic energy. In the case of the singular Wishart matrix, the limit distribution has an atom.

Original languageEnglish
Pages (from-to)633-646
Number of pages14
JournalInfinite Dimensional Analysis, Quantum Probability and Related Topics
Volume1
Issue number4
DOIs
Publication statusPublished - Oct 1998

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ASJC Scopus subject areas

  • Statistical and Nonlinear Physics
  • Statistics and Probability
  • Mathematical Physics
  • Applied Mathematics

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