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Spectral theory of large dimensional random matrices and its applications to wireless communications and finance statistics : random matrix theory and its applications /

The book contains three parts: Spectral theory of large dimensional random matrices; Applications to wireless communications; and Applications to finance. In the first part, we introduce some basic theorems of spectral analysis of large dimensional random matrices that are obtained under finite mome...

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Bibliographic Details
Main Authors: Bai, Zhidong
Group Author: Fang, Zhaoben; Liang, Ying-Chang
Published: World Scientific Publishing Company,
Publisher Address: Singapore :
Publication Dates: [2014]
Literature type: Book
Language: English
Subjects:
Matrices
Matrices > Mathematical models
Summary: The book contains three parts: Spectral theory of large dimensional random matrices; Applications to wireless communications; and Applications to finance. In the first part, we introduce some basic theorems of spectral analysis of large dimensional random matrices that are obtained under finite moment conditions, such as the limiting spectral distributions of Wigner matrix and that of large dimensional sample covariance matrix, limits of extreme eigenvalues, and the central limit theorems for linear spectral statistics. In the second part, we introduce some basic examples of applications of
Item Description: This work is originally published by University of Science and Technology of China Press in 2010.
Carrier Form: xi, 220 pages : illustrations ; 24 cm
Bibliography: Includes bibliographical references (pages 201-215) and index.
ISBN: 9789814579056 :
981457905X
Index Number: QA188
CLC: O151.21
Call Number: O151.21/B152-2
Contents: Introduction -- Limiting spectral distributions -- Extreme eigenvalues -- Central limit theorems of linear spectral statistics -- Limiting behavior of eigenmatrix of sample covariance matrix -- Wireless communications -- Limiting performances of linear and iterative receivers -- Application to finance.

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