Extreme eigenvalues of sparse, heavy tailed random matrices

DOI10.1016/J.SPA.2016.04.029MaRDI QIDQ326830zbMATHOpenAlexFDO

Authors Antonio Auffinger, Si Tang

Publication date 12 October 2016

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.06175

zbMATH Keywords

sparsityrandom matricesheavy tailextreme eigenvalues

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

Abstract: We study the statistics of the largest eigenvalues of $pimesp$ sample covariance matrices $Sigm{a}_{p,n}=M_{p,n}{M}_{p,n}^{\ast }$ when the entries of the $pimesn$ matrix $M_{p,n}$ are sparse and have a distribution with tail $t^{-alpha}$, $alpha>0$. On average the number of nonzero entries of $M_{p,n}$ is of order $n^{mu+1}$, $0leqmuleq1$. We prove that in the large $n$ limit, the largest eigenvalues are Poissonian if $alpha<2(1+m{u}^{-1})$ and converge to a constant in the case $alpha>2(1+m{u}^{-1})$. We also extend the results of Benaych-Georges and Peche [7] in the Hermitian case, removing restrictions on the number of nonzero entries of the matrix.

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Cited in

(21)

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• Spectral large deviations of sparse random matrices
• Extreme singular values of inhomogeneous sparse random rectangular matrices
• Limiting laws for extreme eigenvalues of large-dimensional spiked Fisher matrices with a divergent number of spikes
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• Eigenvector statistics of Lévy matrices

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