Analysis of the Limiting Spectral Distribution of Large Dimensional Random Matrices
Results on the analytic behavior of the limiting spectral distribution of matrices of sample covariance type, studied in Marcenko and Pastur  and Yin , are derived. Through an equation defining its Stieltjes transform, it is shown that the limiting distribution has a continuous derivative away from zero, the derivative being analytic wherever it is positive, and resembles [formula] for most cases of x0 in the boundary of its support. A complete analysis of a way to determine its support, originally outlined in Marcenko and Pastur , is also presented.
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Volume (Year): 54 (1995)
Issue (Month): 2 (August)
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