Distributions on matrix moment spaces

Holger Dette, Matthias Guhlich, Jan Nagel

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In this paper we define distributions on the moment spaces corresponding to p*p real or complex matrix measures on the real line with an unbounded support. For random vectors on the unbounded matricial moment spaces we prove the convergence in distribution to the Gaussian orthogonal ensemble or the Gaussian unitary ensemble, respectively.
Original languageEnglish
JournalJournal of Multivariate Analysis
Publication statusPublished - 2014
Externally publishedYes


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