Estimating the covariance of random matrices

Pierre Youssef

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arXiv · 1301.6607

Estimating the covariance of random matrices

Pierre Youssef

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Abstract

We extend to the matrix setting a recent result of Srivastava-Vershynin about estimating the covariance matrix of a random vector. The result can be in- terpreted as a quantified version of the law of large numbers for positive semi-definite matrices which verify some regularity assumption. Beside giving examples, we dis- cuss the notion of log-concave matrices and give estimates on the smallest and largest eigenvalues of a sum of such matrices.

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Pierre Youssef. 2013-01-28. Estimating the covariance of random matrices. https://arxiv.org/abs/1301.6607

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