Eigenvalue density of the Wishart matrix and large deviations

Authors
Citation
F. Hiai et D. Petz, Eigenvalue density of the Wishart matrix and large deviations, INFIN DIMEN, 1(4), 1998, pp. 633-646
Citations number
16
Categorie Soggetti
Mathematics
Journal title
INFINITE DIMENSIONAL ANALYSIS QUANTUM PROBABILITY AND RELATED TOPICS
ISSN journal
02190257 → ACNP
Volume
1
Issue
4
Year of publication
1998
Pages
633 - 646
Database
ISI
SICI code
0219-0257(199810)1:4<633:EDOTWM>2.0.ZU;2-J
Abstract
A large deviation theorem is obtained for a certain sequence of random meas ures which includes the empirical eigenvalue distribution of Wishart matric es, as the matrix size tends to infinity. The rate function is convex and o ne of its ingredients is the logarithmic energy. In the case of the singula r Wishart matrix, the limit distribution has an atom.