2007年5月
Spectral density of sparse sample covariance matrices
JOURNAL OF PHYSICS A-MATHEMATICAL AND THEORETICAL
- ,
- 巻
- 40
- 号
- 19
- 開始ページ
- 4973
- 終了ページ
- 4987
- 記述言語
- 英語
- 掲載種別
- 研究論文(学術雑誌)
- DOI
- 10.1088/1751-8113/40/19/003
- 出版者・発行元
- IOP PUBLISHING LTD
Applying the replica method of statistical mechanics, we evaluate the eigenvalue density of the large random matrix (sample covariance matrix) of the form J = A(T)A, where A is an M x N real sparse random matrix. The difference from a dense random matrix is the most significant in the tail region of the spectrum. We compare the results of several approximation schemes, focusing on the behaviour in the tail region.
- リンク情報
- ID情報
-
- DOI : 10.1088/1751-8113/40/19/003
- ISSN : 1751-8113
- Web of Science ID : WOS:000246096200004