Article ID Journal Published Year Pages File Type
1146328 Journal of Multivariate Analysis 2010 14 Pages PDF
Abstract
In this paper we consider random block matrices which generalize the classical Laguerre ensemble and the Jacobi ensemble. We show that the random eigenvalues of the matrices can be uniformly approximated by the zeros of matrix orthogonal polynomials and obtain a rate for the maximum difference between the eigenvalues and the zeros. This relation between the random block matrices and matrix orthogonal polynomials allows a derivation of the asymptotic spectral distribution of the matrices.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis
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