大维随机矩阵的谱分析理论

Spectral Analysis of Large Dimensional Random Matrices(Second Edition) Zhidong Bai, Jack W.Silverstein 详细介绍了大维随机矩阵的特征值分布理论This book is dedicated to Professor Calyampudi radhakrishna rao's 90th Birthday Professor UIf Grenander's 87th Birthday Professor Yongquan Yins 80th Birthday and to My wife, Xicun Dan, my sons Li and steve gang, and grandsons Yongji, and Yonglin Zhidong bai My children, Hila and Idan ck W. silverstein Preface to the second edition The ongoing developments being made in large dimensional data analysis continue to generate great interest in random matrix theory in both theoret ical investigations and applications in many disciplines. This has doubtlessly contributed to the significant demand for this monograph, resulting in its first printing being sold out. The authors have received many requests to publish a second edition of the book Since the publication of the first edition in 2006, many new results have been reported in the literature. However, due to limitations in space, we cannot include all new achievements in the second edition. In accordance with the needs of statistics and signal processing, we have added a new chapter on the limiting behavior of eigenvectors of large dimensional sample covariance matrices. To illustrate the application of rmt to wireless communications and statistical finance, we have added a chapter on these areas. Certain new developments are commented on throughout the book. Some typos and errors found in the first edition have been corrected The authors would like to express their appreciation to Ms Li Hong for her help in the preparation of the second edition. They would also like to thank Professors Ying-Chang Liang, Zhaoben Fang, Baoxue Zhang, and Shurong Zheng, and Mr Jiang Hu, for their valuable comments and suggestions. They also thank the copy editor, Mr. Hal Heinglein, for his careful reading, cor rections, and helpful suggestions. The first author would like to acknowledge the support from grants NSFC