Marchenko–Pastur distribution
id:
marchenko-pastur-distribution-168-6533018
title:
Marchenko–Pastur distribution
text:
In the mathematical theory of random matrices, the Marchenko–Pastur distribution, or Marchenko–Pastur law, describes the asymptotic behavior of singular values of large rectangular random matrices. The theorem is named after soviet mathematicians Volodymyr Marchenko and Leonid Pastur who proved this result in 1967. If X denotes a m × n random matrix whose entries are independent identically distributed random variables with mean 0 and variance σ 2 < ∞, let
- Y n = 1 n X X T and let λ 1, λ 2, …
brand slug:
wiki
category slug:
encyclopedia
description:
Distribution of singular values of large rectangular random matrices
original url:
https://en.wikipedia.org/wiki/Marchenko%E2%80%93Pastur_distribution
date created:
2009-11-17T22:52:33Z
date modified:
2024-08-30T22:23:13Z
main entity:
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image:
{"content_url":"https://upload.wikimedia.org/wikipedia/commons/b/ba/Marchenko-Pastur_distribution.svg","width":540,"height":270}
fields total:
13
integrity:
16