Local law and Tracy-Widom limit for sparse sample covariance matrices

DOI10.1214/19-AAP1472MaRDI QIDQ2286459zbMATH OpenOpenAlexFDO

Authors Jong Yun Hwang, Ji Oon Lee, Kevin Schnelli

Publication date 22 January 2020

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

Full work available at URL https://arxiv.org/abs/1806.03186

zbMATH Keywords

local lawTracy-Widom distributionhigh-dimensional sample covariance matrices

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

Abstract: We consider spectral properties of sparse sample covariance matrices, which includes biadjacency matrices of the bipartite ErdH{o}s-R'enyi graph model. We prove a local law for the eigenvalue density up to the upper spectral edge. Under a suitable condition on the sparsity, we also prove that the limiting distribution of the rescaled, shifted extremal eigenvalues is given by the GOE Tracy-Widom law with an explicit formula on the deterministic shift of the spectral edge. For the biadjacency matrix of an ErdH{o}s-R'enyi graph with two vertex sets of comparable sizes $M$ and $N$, this establishes Tracy-Widom fluctuations of the second largest eigenvalue when the connection probability $p$ is much larger than $N^{-2/3}$ with a deterministic shift of order $(Np{)}^{-1}$.

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