Oct 3 - 6, 2011
Institut Henri Poincaré, Paris
Florent Benaych-Georges, UPMC:
Marchenko-Pastur theorem and Bercovici-Pata bijection for delocalized vectors
Marchenko-Pastur's celebrated theorem gives the limit spectral distribution of the empirical covariance matrix of "delocalized" random vectors (i.e. random vectors whose entries have roughly all the same size). In a joint work with Thierry Cabanal-Duvillard, we consider the case where the random vectors are note "delocalized" anymore, having one entry much larger than the other ones. At the "large N limit", we obtain new limit distributions, giving rise to new Bercovici-Pata bijections.
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