Asymptotic behavior of large Gaussian correlated Wishart matrices

DOI10.1007/S10959-021-01133-1zbMATH Open1502.60008arXiv1804.06220OpenAlexW2796994438MaRDI QIDQ2099996FDOQ2099996

Ivan Nourdin, Guangqu Zheng

Publication date: 21 November 2022

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

Abstract: We consider high-dimensional Wishart matrices $d^{-1}mathcal{X}_{n,d}mathcal{X}_{n,d}^T$, associated with a rectangular random matrix $mathcal{X}_{n,d}$ of size $nimesd$ whose entries are jointly Gaussian and correlated. Even if we will consider the case of overall correlation among the entries of $mathcal{X}_{n,d}$, our main focus is on the case where the rows of $mathcal{X}_{n,d}$ are independent copies of a $n$-dimensional stationary centered Gaussian vector of correlation function $s$. When $s$ belongs to $el{l}^{4/3}(mathbbZ)$, we show that a proper normalization of $d^{-1}mathcal{X}_{n,d}mathcal{X}_{n,d}^T$ is close in Wasserstein distance to the corresponding Gaussian ensemble as long as $d$ is much larger than $n^3$, thus recovering the main finding of [3,9] and extending it to a larger class of matrices. We also investigate the case where $s$ is the correlation function associated with the fractional Brownian noise of parameter $H$. This example is very rich, as it gives rise to a great variety of phenomena with very different natures, depending on how $H$ is located with respect to $1/2$, $5/8$ and $3/4$. Notably, when $H>3/4$, our study highlights a new probabilistic object, which we have decided to call the Rosenblatt-Wishart matrix. Our approach crucially relies on the fact that the entries of the Wishart matrices we are dealing with are double Wiener-It^o integrals, allowing us to make use of multivariate bounds arising from the Malliavin-Stein method and related ideas. To conclude the paper, we analyze the situation where the row-independence assumption is relaxed and we also look at the setting of random $p$-tensors ($pgeq3$), a natural extension of Wishart matrices.

Full work available at URL: https://arxiv.org/abs/1804.06220

zbMATH Keywords

Malliavin calculusStein's methodhigh-dimensional regimeRosenblatt-Wishart matrix

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22)

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Cited In (7)

• Limit behavior in high-dimensional regime for the Wishart tensors in Wiener chaos
• High-dimensional regimes of non-stationary Gaussian correlated Wishart matrices
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• Threshold for detecting high dimensional geometry in anisotropic random geometric graphs
• High-dimensional regime for Wishart matrices based on the increments of the solution to the stochastic heat equation
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