A necessary and sufficient condition for edge universality at the largest singular values of covariance matrices

DOI10.1214/17-AAP1341zbMATH Open1426.15052arXiv1607.06873WikidataQ129736257 ScholiaQ129736257MaRDI QIDQ1661567FDOQ1661567

Authors: Xiucai Ding, Fan Yang 

Publication date: 16 August 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: In this paper, we prove a necessary and sufficient condition for the edge universality of sample covariance matrices with general population. We consider sample covariance matrices of the form $mathcalQ=TX(TX{)}^{*}$, where the sample $X$ is an $M_{2}imesN$ random matrix with $i.i.d.$ entries with mean zero and variance $N^{-1}$, and $T$ is an $M_{1}imes{M}_2$ deterministic matrix satisfying $T^{*}T$ is diagonal. We study the asymptotic behavior of the largest eigenvalues of $mathcalQ$ when $M:=min{M}_1,M_2$ and $N$ tends to infinity with $li{m}_{Noinfty}N/M=din(0,infty)$. Under mild assumptions of $T$, we prove that the Tracy-Widom law holds for the largest eigenvalue of $mathcalQ$ if and only if $li{m}_{sightarrowinfty}{s}^{4}mathbbP(|sqrtN{x}_{ij}|geqs)=0$. This condition was first proposed for Wigner matrices by Lee and Yin.

Full work available at URL: https://arxiv.org/abs/1607.06873

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zbMATH Keywords

Tracy-Widom distributionMarchenko-Pastur lawsample covariance matricesedge universality

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Disordered systems (random Ising models, random Schrödinger operators, etc.) in equilibrium statistical mechanics (82B44)

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Cited In (26)

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