Poisson convergence for the largest eigenvalues of heavy tailed random matrices
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Abstract: We study the statistics of the largest eigenvalues of real symmetric and sample covariance matrices when the entries are heavy tailed. Extending the result obtained by Soshnikov in cite{Sos1}, we prove that, in the absence of the fourth moment, the top eigenvalues behave, in the limit, as the largest entries of the matrix.
The statistics of the largest eigenvalues of two important families of random matrices, i.e., of real symmetric and sample covariance matrices with heavy tailed entries are studied. Firstly, the case of random real symmetric matrices with independent and heavy tailed entries are considered. Let~\((a_{ij})\), \(1 \leq i \leq n\), \(1 \leq j \leq n\) be i.i.d.~random variables of matrix \(A_n\) such that \({\mathbb P}(|a_{ij}| > x)=L(x)x^{-\alpha}\), where \(\alpha > 0\) and \(L(x)\) is slowly varying function. For any \(\alpha > 0\) the point process of extreme values of the entries of \(A_n\) is asymptotically Poissonian. The largest eigenvalues of \(A_n\) behave as the largest entries of the matrix \(A_n\) when \(0 < \alpha < 4\). This result of \textit{A. Soshnikov} [Electron. Commun. Probab. 9, 82--91 (2004; Zbl 1060.60013)] for \(0 < \alpha < 2\) is here extended under the condition that the fourth moment is absent. Then, the behavior of the ensemble of large random covariance matrices is also investigated. A sample covariance matrix is given as \( X_n = \frac {1}{p}A_n {A_n}^t\), where \(A_n\) is an \(n \times p\) random matrix with i.i.d. centered entries \((a_{ij})\), \(1 \leq i \leq n\), \(1 \leq j \leq p\). The same result as for the case of random symmetric matrices is derived through an estimate of traces of high powers of random matrices properly truncated.
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Cited in
(69)- Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
- On the spectral radius of a random matrix: an upper bound without fourth moment
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- Poisson statistics for the largest eigenvalues of Wigner random matrices with heavy tails
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