Distributions on matrix moment spaces

JOURNAL OF MULTIVARIATE ANALYSIS

卷:131

Article

Dette, Holger¹  Guhlich, Matthias¹  Nagel, Jan² 

[1] Ruhr Univ Bochum, Fak Math, D-44780 Bochum, Germany

[2] Tech Univ Munich, Fak Math, D-85748 Garching, Germany

关键词: Moment spaces;    Random matrices;    Matrix measures;    Random moments;    Gaussian ensemble;    Laguerre ensemble;    Wigner's semicircle law;    Marchenko-Pastur law;   

DOI  :  10.1016/j.jmva.2014.06.015

来源: Elsevier

【 摘 要 】

In this paper we define distributions on the moment spaces corresponding to p x p real or complex matrix measures on the real line with an unbounded support. For random vectors on the unbounded matricial moment spaces we prove the convergence in distribution to the Gaussian orthogonal ensemble or the Gaussian unitary ensemble, respectively. (C) 2014 Elsevier Inc. All rights reserved.

【 授权许可】

Free