Central limit theorem for linear eigenvalue statistics for a tensor product version of sample covariance matrices

DOI10.1007/S10959-017-0741-9zbMATH Open1394.15025arXiv1602.08613OpenAlexW2584766696WikidataQ59522764 ScholiaQ59522764MaRDI QIDQ1661592FDOQ1661592

Authors: Y. Aharonov 

Publication date: 16 August 2018

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: For $k,m,ninmathbbN$, we consider $n^{k}imes{n}^k$ random matrices of the form ${\displaystyle }$ mathcal{M}_{n,m,k}(mathbf{y})=sum_{alpha=1}^m au_alpha {Y_alpha}Y_alpha^T,quad Y_alpha=mathbf{y}_alpha^{(1)}otimes...otimesmathbf{y}_alpha^{(k)}, ${\displaystyle }$ where $a{u}_{alpha}$, $alphain[m]$, are real numbers and $mathbf{y}_{a}lph{a}^{(j)}$, $alphain[m]$, $jin[k]$, are i.i.d. copies of a normalized isotropic random vector $mathbfyinmathbb{R}^n$. For every fixed $kge1$, if the Normalized Counting Measures of ${a{u}_{alpha}}_{alpha}$ converge weakly as $m,nightarrowinfty$, $m/n^{k}ightarrowcinlbrack0,infty)$ and $mathbfy$ is a good vector in the sense of Definition 1.1, then the Normalized Counting Measures of eigenvalues of $mathcal{M}_{n,m,k}(mathbfy)$ converge weakly in probability to a non-random limit found in [15]. For $k=2$, we define a subclass of good vectors $mathbfy$ for which the centered linear eigenvalue statistics $n^{-1/2}extTr,varphi(mathcal{M}_{n,m,2}(mathbfy){)}^{c}irc$ converge in distribution to a Gaussian random variable, i.e., the Central Limit Theorem is valid.

Full work available at URL: https://arxiv.org/abs/1602.08613

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zbMATH Keywords

central limit theoremrandom matrixsample covariance matrixlinear eigenvalue statistics

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

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Cited In (14)

• Limit behavior in high-dimensional regime for the Wishart tensors in Wiener chaos
• Quantum stream ciphers: impossibility of unconditionally strong algorithms
• On the empirical spectral distribution for certain models related to sample covariance matrices with different correlations
• On Sufficient Conditions in the Marchenko--Pastur Theorem
• On the CLT for Linear Eigenvalue Statistics of a Tensor Model of Sample Covariance Matrices
• Strong limit theorem for largest entry of large-dimensional random tensor
• Marchenko–Pastur law with relaxed independence conditions
• On spectrum of sample covariance matrices from large tensor vectors
• Limiting distributions of largest entries of sample co-variance matrices from 1-dependent normal populations
• Limiting Spectral Distribution for Large Sample Covariance Matrices with Graph-Dependent Elements
• Limit behavior in high-dimensional regime for Wishart tensors with Rosenblatt entries
• Marchenko-Pastur law for a random tensor model
• On spectral distribution of sample covariance matrices from large dimensional and large \(k\)-fold tensor products
• Limiting behavior of largest entry of random tensor constructed by high-dimensional data

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