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This book covers the Wigner matrix, the sample covariance matrix, the Toeplitz matrix, the Hankel matrix, the sample autocovariance matrix and the k-Circulant matrices. Quick and simple proofs of their LSDs are provided and it is shown how the semi-circle law and the Marchenko-Pastur law arise as the LSDs of the first two matrices.
When you click on links to various merchants on this site and make a purchase, this can result in this site earning a commission. Affiliate programs and affiliations include, but are not limited to, the eBay Partner Network.