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Random Matrix Theory in High-Dimensional Statistics

Random Matrix Theory (RMT) explains how eigenvalues of large random matrices behave when the dimension p is comparable to the sample size n.

#random matrix theory#marchenko-pastur#wigner semicircle+12
∑MathAdvanced

Wigner Semicircle Law

The Wigner Semicircle Law says that the histogram of eigenvalues of large random symmetric matrices converges to a semicircle-shaped curve.

#wigner semicircle law
Intermediate
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Filtering by:
#universality
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Random Matrix Theory
#random matrix
#empirical spectral distribution
+12