Random Matrix Theory (RMT) has emerged as an indispensable framework for understanding the statistical properties of matrices whose entries are determined by probabilistic processes. Initially ...

We place ourselves in the setting of high-dimensional statistical inference where the number of variables p in a dataset of interest is of the same order of magnitude as the number of observations n.

This is a preview. Log in through your library . Abstract Consider a square matrix with independent and identically distributed entries of zero mean and unit variance. It is well known that if the ...