Edge universality of correlation matrices (Q693745)

The edge universality of correlation matrices is proved. The term universality refers to the phenomenon that the asymptotic distributions of various functionals of covariance/correlation matrices are identical to those Gaussian covariance/correlation matrices. The here considered data matrix \(\tilde X = (\tilde x_{ij})\) is an \(M \times N\) matrix with independent centered real-valued entries. The entries in each column \(j\) are assumed to be identically distributed, i.~e., \(\tilde x_{ij} = M^{-1/2}q_{ij}\), \({\mathbb E}q_{ij}=0\) and \({\mathbb E}q_{ij}^2= \sigma_j^2\) for \(1 < i < M\). These entries \(q_{ij}\) have a subexponential decay, i. e., there exists a constant \(\vartheta > 0\) such that for \(u >1\) we have \({\mathbb P}(|q_{ij}| > u \sigma_j) \leq \vartheta^{-1} \text{exp}(-u^{ \vartheta})\). It is assumed that \(\lim_{N \to \infty} d_N \not= 0, 1, \infty\) is valid for \(d_N = N/M\). The main result of the paper says that the \(k\)-point correlation functions of the extreme eigenvalues of the correlation matrix \(X^{\dagger}X\) converge to those of the Gaussian correlation matrix, i. e., that the asymptotic distribution of the largest or smallest eigenvalue of the correlation matrix is given by the Tracy-Widom law. The proof is based on the comparison of Green's functions but doing this it is necessary to overcome the strong dependence of the entries of the correlation matrix. It is achieved by the new argument which includes comparing the moments of the product of the entries of the standardized data matrix to those of the raw data matrix. As a special case of the main result the asymptotic distribution of the largest or smallest (appropriately rescaled) eigenvalue of the Gaussian correlation matrix is obtained.