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

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

Authors Xiucai Ding, Fan Yang 

Publication date 16 August 2018

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

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

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)

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 $mathcalQ=TX(TX{)}^{\ast }$, 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 $T^{\ast }T$ 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.

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Cited In (27)

• Quantitative Tracy-Widom laws for the largest eigenvalue of generalized Wigner matrices
• Tracy-Widom law for the extreme eigenvalues of large signal-plus-noise matrices
• Estimation and inference for precision matrices of nonstationary time series
• Goodness-of-fit test for latent block models
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• Tracy-Widom limit for Kendall's tau
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• On the largest and the smallest singular value of sparse rectangular random matrices
• Local law and Tracy-Widom limit for sparse sample covariance matrices
• Random covariance matrices: universality of local statistics of eigenvalues up to the edge

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