arXiv:2101.06481 Abstract | arXiv Analytics

arXiv:2101.06481 [math.PR]Abstract References Reviews Resources

Asymptotic freeness of sample covariance matrices via embedding

Published 2021-01-16Version 1

We present an alternative proof of asymptotic freeness of independent sample covariance matrices, when the dimension and the sample size grow at the same rate, by embedding these matrices into Wigner matrices of a larger order and using asymptotic freeness of independent Wigner and deterministic matrices.

Categories: math.PR

Keywords: asymptotic freeness, independent sample covariance matrices, deterministic matrices, independent wigner, larger order

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