Concentration inequalities for the spectral measure of random matrices

Bernard Delyon (1)

1 IRMAR - Institut de Recherche Mathématique de Rennes

We give new exponential inequalities for the spectral measure of random Wishart matrices. These results give in particular useful bounds when these matrices have the form $M = Y Y ^(T)$ , in the case where Y is a $p x n$ random matrix with independent enties (weaker conditions are also proposed), and p and n are large.

Mots clés: Spectral measure; random matrices

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Bernard Delyon. Concentration inequalities for the spectral measure of random matrices. Electronic Communications in Probability, 2010, 15, pp.549-561. ⟨10.1214/ECP.v15-1585⟩. ⟨hal-00584484⟩