Spectral Theory of Large Dimensional Random Matrices and Its Applications to Wireless Communications and Finance Statistics
Author | : Zhidong Bai |
Publisher | : World Scientific |
Total Pages | : 232 |
Release | : 2014-01-24 |
ISBN-10 | : 9789814579070 |
ISBN-13 | : 9814579076 |
Rating | : 4/5 (70 Downloads) |
Download or read book Spectral Theory of Large Dimensional Random Matrices and Its Applications to Wireless Communications and Finance Statistics written by Zhidong Bai and published by World Scientific. This book was released on 2014-01-24 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book contains three parts: Spectral theory of large dimensional random matrices; Applications to wireless communications; and Applications to finance. In the first part, we introduce some basic theorems of spectral analysis of large dimensional random matrices that are obtained under finite moment conditions, such as the limiting spectral distributions of Wigner matrix and that of large dimensional sample covariance matrix, limits of extreme eigenvalues, and the central limit theorems for linear spectral statistics. In the second part, we introduce some basic examples of applications of random matrix theory to wireless communications and in the third part, we present some examples of Applications to statistical finance. Contents:IntroductionLimiting Spectral DistributionsExtreme EigenvaluesCentral Limit Theorems of Linear Spectral StatisticsLimiting Behavior of Eigenmatrix of Sample Covariance MatrixWireless CommunicationsLimiting Performances of Linear and Iterative ReceiversApplication to Finance Readership: Graduate students and researchers in random matrices. Key Features:The book introduces basic theorems in large dimensional random matrices emphasizing those which are established under moment conditions and are thus applicable to statisticsThe long proofs of some theorems are omitted and their references have been providedExamples of various applications to wireless communications and finance are givenKeywords:Statistical Finance;Random Matrix Theory;Spectral Analysis of Random Matrices;Wireless CommunicationsReviews: “Practitioners looking for an introduction to the applications of random matrix theory to finance will find this part useful.” Mathematical Reviews Clippings