Abstract
AbstractWe consider random, complex sample covariance matrices$${1 \over N}$$X*X, whereXis ap×Nrandom matrix with i.i.d. entries of distribution μ. It has been conjectured that both the distribution of the distance between nearest neighbor eigenvalues in thebulkand that of the smallest eigenvalues become, in the limitN→ ∞,$${p \over N}$$→ 1, the same as that identified for a complex Gaussian distribution μ. We prove these conjectures for a certain class of probability distributions μ. © 2004 Wiley Periodicals, Inc.
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