High-dimensional regime for Wishart matrices based on the increments of the solution to the stochastic heat equation (Q6137369)

The authors consider an \(n \times d\) random matrix \(\mathcal X_{n,d}\) whose entries are the spatial increments of the solution to the stochastic heat equation with spacetime white noise. They analyze the limit behavior of the associated Wishart matrix \(\frac 1d\mathcal X_{n,d} \mathcal X_{n,d}^\top\). They show that the Wishart matrix converges almost surely to a multiple of the identity matrix and that the suitably normalized Wishart matrix satisfies a central limit theorem. The proofs are based on the Wiener chaos decomposition, Malliavin calculus and Stein's method.