Limit Behavior For Wishart Matrices With Skorohod Integrals

DIEZ, Charles-Philippe Manuel; Tudor, Ciprian A.

doi:10.30757/ALEA.v18-59

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Limit Behavior For Wishart Matrices With Skorohod Integrals

DIEZ, Charles-Philippe Manuel; Tudor, Ciprian A.

2021 • In ALEA: Latin American Journal of Probability and Mathematical Statistics, 18 (1), p. 1625 - 1641

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https://hdl.handle.net/10993/58560

DOI
10.30757/ALEA.v18-59

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Keywords :

Random dynamics; random environments; scaling limit; Statistics and Probability

Abstract :

[en] We consider a n x d random matrix Xn,d whoses entries can be expressed as Skorohod integrals. By using the techniques of the Malliavin calculus, we study the fluctuations under the Wasserstein distance, as n; d ! 1, of the renormalized Wishart matrix(formula Presentes)where In is the n In identity matrix.

Disciplines :

Mathematics

Author, co-author :

DIEZ, Charles-Philippe Manuel ; University of Luxembourg > Faculty of Science, Technology and Medicine (FSTM) > Department of Mathematics (DMATH) ; Cnrs, Université De Lille Laboratoire Paul Painlevé, Villeneuve D’Ascq, France

Tudor, Ciprian A.; Cnrs, Université De Lille Laboratoire Paul Painlevé, Villeneuve D’Ascq, France

External co-authors :

yes

Language :

English

Title :

Limit Behavior For Wishart Matrices With Skorohod Integrals

Publication date :

2021

Journal title :

ALEA: Latin American Journal of Probability and Mathematical Statistics

eISSN :

1980-0436

Publisher :

Instituto Nacional de Matematica Pura e Aplicada

Volume :

Issue :

Pages :

1625 - 1641

Peer reviewed :

Peer Reviewed verified by ORBi

Funding text :

Received by the editors March 12th, 2021; accepted June 23th, 2021. 2010 Mathematics Subject Classification. 82C44, 60K35, 60G70. Key words and phrases. Random dynamics, random environments, scaling limit. C-P. D. acknowledges partial support from the Labex CEMPI (ANR-11-LABX-0007-01) and C. T. acknowledges partial support from the Labex CEMPI (ANR-11-LABX-0007-01) and MATHAMSUD project SARC (19-MATH-06).

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