Bose, Arup ; Hazra, Rajat ; Saha, Koushik (2010) Spectral norm of circulant type matrices with heavy tailed entries Electronic Communications in Probability, 15 . pp. 299-313. ISSN 1083-589X
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Official URL: http://doi.org/10.1214/ECP.v15-1554
Related URL: http://dx.doi.org/10.1214/ECP.v15-1554
Abstract
We first study the probabilistic properties of the spectral norm of scaled eigenvalues of large dimensional Toeplitz, circulant and symmetric circulant matrices when the input sequence is independent and identically distributed with appropriate heavy tails. When the input sequence is a stationary two sided moving average process of infinite order, we scale the eigenvalues by the spectral density at appropriate ordinates and study the limit for their maximums.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Institute of Mathematical Statistics. |
| Keywords: | Circulant Matrix; Eigenvalues; Large Dimensional Random Matrix; Moving Average Process; Power Transfer Function; Reverse Circulant Matrix; Spectral Norm; Symmetric Circulant Matrix; Toeplitz Matrix. |
| ID Code: | 121042 |
| Deposited On: | 08 Jul 2021 12:30 |
| Last Modified: | 08 Jul 2021 12:30 |
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