Huanchao Zhou, Jiang Hu, Zhidong Bai, Jack W. Silverstein
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Analysis of the Limiting Spectral Distribution of Large-dimensional General Information-Plus-Noise-Type Matrices
In this paper, we derive the analytical behavior of the limiting spectral distribution of non-central covariance matrices of the “general information-plus-noise" type, as studied in Zhou (JTP 36:1203–1226, 2023). Through the equation defining its Stieltjes transform, it is shown that the limiting distribution has a continuous derivative away from zero, the derivative being analytic wherever it is positive, and we show the determination criterion for its support. We also extend the result in Zhou (JTP 36:1203-1226, 2023) to allow for all possible ratios of row to column of the underlying random matrix.
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