Analysis of the limiting spectral measure of large random matrices of the separable covariance type
Analysis of the limiting spectral measure of large random matrices of the separable covariance type
Consider the random matrix [Formula: see text] where D and [Formula: see text] are deterministic Hermitian nonnegative matrices with respective dimensions N × N and n × n, and where X is a random matrix with independent and identically distributed centered elements with variance 1/n. Assume that the dimensions N …