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

DOI10.1214/19-AAP1472zbMATH Open1447.60023arXiv1806.03186OpenAlexW2980443884MaRDI QIDQ2286459FDOQ2286459

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)

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 $(Np{)}^{-1}$.

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

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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)

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• Local law and Tracy-Widom limit for sparse stochastic block models
• Local laws for sparse sample covariance matrices without the truncation condition
• Higher order fluctuations of extremal eigenvalues of sparse random matrices
• Edge statistics of large dimensional deformed rectangular matrices
• Local law and Tracy-Widom limit for sparse sample covariance matrices
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• An Eigenvalue Ratio Approach to Inferring Population Structure from Whole Genome Sequencing Data

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