An Introduction to Statistical Analysis of Random Arrays
By: V. L. Girko (author)Hardback
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This book contains the results of 30 years of investigation by the author into the creation of a new theory on statistical analysis of observations, based on the principle of random arrays of random vectors and matrices of increasing dimensions. It describes limit phenomena of sequences of random observations, which occupy a central place in the theory of random matrices. This is the first book to explore statistical analysis of random arrays and provides the necessary tools for such analysis. This book is a natural generalization of multidimensional statistical analysis and aims to provide its readers with new, improved estimators of this analysis. The book consists of 14 chapters and opens with the theory of sample random matrices of fixed dimension, which allows to envelop not only the problems of multidimensional statistical analysis, but also some important problems of mechanics, physics and economics. The second chapter deals with all 50 known canonical equations of the new statistical analysis, which form the basis for finding new and improved statistical estimators. Chapters 3-5 contain detailed proof of the three main laws on the theory of sample random matrices. In chapters 6-10 detailed, strong proofs of the Circular and Elliptic Laws and their generalization are given. In chapters 11-13 the convergence rates of spectral functions are given for the practical application of new estimators and important questions on random matrix physics are considered. The final chapter contains 54 new statistical estimators, which generalize the main estimators of statistical analysis.
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- ID: 9789067642934
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