Convergence of eigenvector empirical spectral distribution of sample covariance matrices

DOI10.1214/19-AOS1832zbMATH Open1447.15033arXiv1705.03954MaRDI QIDQ2196201FDOQ2196201

Yanyan Li

Publication date: 28 August 2020

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

Abstract: The eigenvector empirical spectral distribution (VESD) is a useful tool in studying the limiting behavior of eigenvalues and eigenvectors of covariance matrices. In this paper, we study the convergence rate of the VESD of sample covariance matrices to the deformed Marv{c}enko-Pastur (MP) distribution. Consider sample covariance matrices of the form $Sigm{a}^{1/2}X{X}^{*}Sigm{a}^{1/2}$, where $X=(x_{ij})$ is an $MimesN$ random matrix whose entries are independent random variables with mean zero and variance $N^{-1}$, and $Sigma$ is a deterministic positive-definite matrix. We prove that the Kolmogorov distance between the expected VESD and the deformed MP distribution is bounded by $N^{-1+epsilon}$ for any fixed $epsilon>0$, provided that the entries $sqrtN{x}_{ij}$ have uniformly bounded 6th moments and $|N/M-1|geau$ for some constant $au>0$. This result improves the previous one obtained in cite{XYZ2013}, which gave the convergence rate $O(N^{-1/2})$ assuming $i.i.d.$ $X$ entries, bounded 10th moment, $Sigma=I$ and $M<N$. Moreover, we also prove that under the finite $8$th moment assumption, the convergence rate of the VESD is $O(N^{-1/2+epsilon})$ almost surely for any fixed $epsilon>0$, which improves the previous bound $N^{-1/4+epsilon}$ in cite{XYZ2013}.

Full work available at URL: https://arxiv.org/abs/1705.03954

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zbMATH Keywords

sample covariance matrixempirical spectral distribution[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Mar%EF%BF%BD%EF%BF%BDenko-Pastur+distribution&go=Go Mar��enko-Pastur distribution]eigenvector empirical spectral distribution

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

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Cited In (17)

• A note on the convergence rate of the spectral distributions of large sample covariance matrices
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