Local law for random Gram matrices

DOI10.1214/17-EJP42MaRDI QIDQ516104zbMATH OpenOpenAlexFDO

Authors Johannes Alt, László Erdős, Torben Krüger

Publication date 21 March 2017

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1606.07353, https://projecteuclid.org/euclid.ejp/1488942016

zbMATH Keywords

capacity of MIMO channelsgeneral variance profilehard edgeMarchenko-Pastur lawsoft edge

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

Abstract: We prove a local law in the bulk of the spectrum for random Gram matrices $X{X}^{\ast }$, a generalization of sample covariance matrices, where $X$ is a large matrix with independent, centered entries with arbitrary variances. The limiting eigenvalue density that generalizes the Marchenko-Pastur law is determined by solving a system of nonlinear equations. Our entrywise and averaged local laws are on the optimal scale with the optimal error bounds. They hold both in the square case (hard edge) and in the properly rectangular case (soft edge). In the latter case we also establish a macroscopic gap away from zero in the spectrum of $X{X}^{\ast }$.

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Cited in

(32)

• Universality for general Wigner-type matrices
• Singularities of the density of states of random Gram matrices
• Local inhomogeneous circular law
• Non-Hermitian random matrices with a variance profile. I: Deterministic equivalents and limiting esds
• Edge statistics of large dimensional deformed rectangular matrices
• Non-Hermitian random matrices with a variance profile. II: properties and examples
• Quantitative results for banded Toeplitz matrices subject to random and deterministic perturbations
• The Dyson equation with linear self-energy: spectral bands, edges and cusps
• Edge universality of separable covariance matrices
• Local laws for polynomials of Wigner matrices
• Location of the spectrum of Kronecker random matrices
• Universality of the least singular value for sparse random matrices
• The cubic law, the invariance principle, and related topics in the theory of analytic functions of random matrices
• Fluctuations for differences of linear eigenvalue statistics for sample covariance matrices
• Quadratic vector equations on complex upper half-plane
• Limit spectra of random Gram matrices
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• Biwhitening Reveals the Rank of a Count Matrix
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• Sample canonical correlation coefficients of high-dimensional random vectors: Local law and Tracy–Widom limit
• Sample canonical correlation coefficients of high-dimensional random vectors with finite rank correlations
• Convergence rate to the Tracy-Widom laws for the largest eigenvalue of sample covariance matrices
• Quantitative universality for the largest eigenvalue of sample covariance matrices
• Data-driven optimal shrinkage of singular values under high-dimensional noise with separable covariance structure with application
• Anisotropic local laws for random matrices
• Kronecker-product random matrices and a matrix least squares problem
• A leave-one-out approach to approximate message passing
• Analysis of the limiting spectral distribution of large random matrices of the Marčenko-Pastur type
• Singularity degree of structured random matrices
• Extreme eigenvalues of Laplacian random matrices with Gaussian entries (with an appendix by Santiago Arenas-Velilla and Victor Perez-Abreu)
• The Dyson equalizer: adaptive noise stabilization for low-rank signal detection and recovery
• Brown measures of deformed L^-valued circular elements

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