On the interval of fluctuation of the singular values of random matrices (Q2628338)

Summary: Let \(A\) be a matrix whose columns \(X_1,\ldots, X_N\) are independent random vectors in \(\mathbb R^n\). Assume that the tails of the 1-dimensional marginals decay as \(\mathbb{P}(|\langle X_i, a\rangle|\geq t)\leq C t^{-p}\) uniformly in \(a\in S^{n-1}\) and \(i\leq N\). Then for \(p4\) we prove that with high probability \(A/\sqrt{n}\) has the restricted isometry property (RIP) provided that Euclidean norms \(|X_i|\) are concentrated around \(\sqrt{n}\). We also show that the covariance matrix is well approximated by empirical covariance matrices and establish corresponding quantitative estimates on the rate of convergence in terms of the ratio \(nN\). Moreover, we obtain sharp bounds for both problems when the decay is of the type exp \((-t^{\alpha})\), with \(\alpha \in (0,2]\), extending the known case \(\alpha \in (1,2]\).