Applied Math Seminar

Fall Quarter 2008

Friday October 31, 3:15p.m.
Sloan Mathematics Corner, Building 380, Room 380-C

Amir Dembo
Mathematics and Statistics
Stanford University

Spectral measure of heavy tailed band and covariance random matrices

We study the asymptotic behavior of the appropriately scaled spectral
measure of large random real symmetric matrices with entries based on
independent random variables whose distribution is in the domain of
attraction of a stable law. As a special case, we analyze the
limiting spectral density for empirical covariance matrices with heavy
tailed entries.

The talk is based on a joint work with Serban Belinschi and Alice Guionnet.

Seminar website: http://math.stanford.edu/~applmath/