The Spectrum of Random Matrices
AbstractThe Frobenius eigenvector of a positive square matrix is obtained by iterating the multiplication of an arbitrary positive vector by the matrix. Brody (1997) noticed that, when the entries of the matrix are independently and identically distributed, the speed of convergence increases statistically with the dimension of the matrix. As the speed depends on the ratio between the subdominant and the dominant eigenvalues, Brody's conjecture amounts to stating that this ratio tends to zero when the dimension tends to infinity. The paper provides a simple proof of the result. Some mathematical and economic aspects of the problem are discussed.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Economic Systems Research.
Volume (Year): 13 (2001)
Issue (Month): 3 ()
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