No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
Bai, Z. D. ; Silverstein, Jack W.
Ann. Probab., Tome 26 (1998) no. 1, p. 316-345 / Harvested from Project Euclid
Let $B_n = (1/N)T_n^{1/2}X_n X_n^* T_n^{1/2}$, where $X_n$ is $n \times N$ with i.i.d. complex standardized entries having finite fourth moment and $T_n^{1/2}$ is a Hermitian square root of the nonnegative definite Hermitian matrix $T_n$. It is known that, as $n \to \infty$, if $n/N$ converges to a positive number and the empirical distribution of the eigenvalues of $T_n$ converges to a proper probability distribution, then the empirical distribution of the eigenvalues of $B_n$ converges a.s. to a nonrandom limit. In this paper we prove that, under certain conditions on the eigenvalues of $T_n$, for any closed interval outside the support of the limit, with probability 1 there will be no eigenvalues in this interval for all $n$ sufficiently large.
Publié le : 1998-01-14
Classification:  Random matrix,  empirical distribution function of eigenvalues,  Stieltjes transform,  60F15,  62H99
@article{1022855421,
     author = {Bai, Z. D. and Silverstein, Jack W.},
     title = {No eigenvalues outside the support of the limiting spectral
 distribution of large-dimensional sample covariance matrices},
     journal = {Ann. Probab.},
     volume = {26},
     number = {1},
     year = {1998},
     pages = { 316-345},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1022855421}
}
Bai, Z. D.; Silverstein, Jack W. No eigenvalues outside the support of the limiting spectral
 distribution of large-dimensional sample covariance matrices. Ann. Probab., Tome 26 (1998) no. 1, pp.  316-345. http://gdmltest.u-ga.fr/item/1022855421/