Marchenko–Pastur distribution

Common card · No. 355460

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 Ukrainian mathematicians Volodymyr Marchenko and Leonid Pastur who proved this result in 1967. If X {\displaystyle X} denotes an m × n {\displaystyle m\times n} random matrix whose entries are independent identically distributed random variables with mean 0 and variance σ 2 < ∞ {\displaystyle \sigma ^{2}<\infty } , let Y n = 1 n X X T...

Read on Wikipedia · Image Mario Geiger, CC BY-SA 4.0