Marchenko-Pastur law for a random tensor model

DOI10.1214/23-ECP527MaRDI QIDQ6110561zbMATH OpenOpenAlexFDO

Authors P. Yas'kov

Publication date 2 August 2023

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

Full work available at URL https://arxiv.org/abs/2111.04296

zbMATH Keywords

Marchenko-Pasteur lawrandom matricesrandom tensorssample covariance matricessymmetric random polynomials

Mathematics Subject Classification ID

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

Abstract: We study the limiting spectral distribution of large-dimensional sample covariance matrices associated with symmetric random tensors formed by $$ different products of $d$ variables chosen from $n$ independent standardized random variables. We find optimal sufficient conditions for this distribution to be the Marchenko-Pastur law in the case $d=d(n)$ and $noinfty$. Our conditions reduce to $d^2=o(n)$ when the variables have uniformly bounded fourth moments. The proofs are based on a new concentration inequality for quadratic forms in symmetric random tensors and a law of large numbers for elementary symmetric random polynomials.

Review text

The paper concerns large-dimensional sample covariance matrices associated with some symmetric random tensors and their limiting spectral distribution. The main result is a description of sufficient conditions for this distribution to be the Marchenko-Pasteur law when \(d=d(n)\) as \(n\to\infty\).

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• Marčenko-Pastur theorem and Bercovici-Pata bijections for heavy-tailed or localized vectors
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