Spectral measure of heavy tailed band and covariance random matrices

DOI10.1007/S00220-009-0822-4MaRDI QIDQ2391141zbMATH OpenOpenAlexWikidataFDO

Authors Amir Dembo, S. T. Belinschi, Alice Guionnet

Publication date 24 July 2009

Published in Communications in Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0811.1587

zbMATH Keywords

covarianceheavy tailed band matricesprobability measurerandom matricesspectral measure

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Convergence of probability measures (60B10) Random matrices (probabilistic aspects) (60B20)

Abstract: We study the asymptotic behavior of the appropriately scaled and possibly perturbed spectral measure $mu$ of large random real symmetric matrices with heavy tailed entries. Specifically, consider the N by N symmetric matrix $Y_N^{s}igma$ whose (i,j) entry is $sigma(i/N,j/N)X_{ij}$ where $(X_{ij},0<i<j+1<infty)$ is an infinite array of i.i.d real variables with common distribution in the domain of attraction of an $alpha$-stable law, $0<alpha<2$, and $sigma$ is a deterministic function. For a random diagonal $D_N$ independent of $Y_N^{s}igma$ and with appropriate rescaling $a_N$, we prove that the distribution $mu$ of $a_N^{-1}{Y}_N^{s}igma+D_N$ converges in mean towards a limiting probability measure which we characterize. As a special case, we derive and analyze the almost sure limiting spectral density for empirical covariance matrices with heavy tailed entries.

Review text

The authors study the asymptotic behavior of the appropriately scaled and possibly perturbed spectral measure of large random real symmetric matrices with heavy tailed entries. In particular, they consider the \(N\)-by-\(N\) matrix \(Y\) with entries \(\sigma(i/N,j/N)x_{i,j}\), where \(\sigma:[0,1]\times[0,1]\rightarrow\mathbb R\) is a square integrable measurable symmetric function, \(x_{i,j}\) represents an infinite array of independent and identically distributed real variables. The authors show that for a random diagonal matrix \(D\) and with appropriate rescaling \(a\), the probability measure \(\mu_{a^{-1}Y+D}\) converges in mean towards a limiting probability measure, which is characterized. As a special case, they derive and analyze the almost sure limiting spectral density for empirical covariance matrices with heavy tailed entries.

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Cites work

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Cited in

(37)

• Non-Hermitian random matrices with a variance profile. I: Deterministic equivalents and limiting esds
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