학술저널
THE INVERSION FORMULA OF THE STIELTJES TRANSFORM OF SPECTRAL DISTRIBUTION
- 충청수학회
- Journal of the Chungcheong Mathematical Society
- Volume 22, No. 3
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2009.09519 - 524 (6 pages)
- 0
In multivariate analysis, the inversion formula of the Stieltjes transform is used to ¯nd the density of a spectral distribution of random matrices of sample covariance type. Let Bn = 1 nY Tm TmYm where Ym =[Yij ]m£n is with independent, identically distributed entries and Tm is an m £ m symmetric nonnegative de¯nite random matrix independent of the Yij s. In the present paper, using the inversion formula of the Stieltjes transform, we will ¯nd the density function of the limiting distribution of Bn away from zero.
1. Introduction
2. Stieltjes transform and inversion formula
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