The Empirical Distribution of the Singular Values of a Random Hankel Matrix

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Authors: Ghodsi, M., Alharbi, N. and Hassani, H.

Journal: Fluctuation and Noise Letters

Volume: 14

Issue: 3

ISSN: 0219-4775

DOI: 10.1142/S0219477515500273

© 2015 World Scientific Publishing Company. The empirical distribution of the eigenvalues of the matrix HH < sup > T < /sup > divided by its trace is considered, where H is a Hankel random matrix. The normal distribution with different parameters are considered and the effect of scale and shape parameters are evaluated. The correlation among eigenvalues are assessed using parametric and non-parametric association criteria.

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