Spectral measure of heavy tailed band and covariance random matrices

DOI10.1007/S00220-009-0822-4zbMATH Open1221.15050arXiv0811.1587OpenAlexW2138431798WikidataQ101121161 ScholiaQ101121161MaRDI QIDQ2391141FDOQ2391141

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

Publication date: 24 July 2009

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

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.

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

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zbMATH Keywords

covariancespectral measurerandom matricesprobability measureheavy tailed band matrices

Mathematics Subject Classification ID

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

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Cited In (31)

• GOE statistics for Lévy matrices
• Circulant type matrices with heavy tailed entries
• Wegner estimate and upper bound on the eigenvalue condition number of non-Hermitian random matrices
• New estimators of spectral distributions of Wigner matrices
• Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case
• Spectral asymptotic expansion of Wishart matrices with exploding moments
• Random matrix models for datasets with fixed time horizons
• Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails
• Eigenvector statistics of Lévy matrices
• Around the circular law
• Convergence of the spectrum of empirical covariance matrices for independent MRW processes
• Non-Hermitian random matrices with a variance profile. I: Deterministic equivalents and limiting esds
• Finite rank perturbations of heavy-tailed Wigner matrices
• Localization and delocalization of eigenvectors for heavy-tailed random matrices
• Circular law for random block band matrices with genuinely sublinear bandwidth
• The limiting distributions of large heavy Wigner and arbitrary random matrices
• Spectrum of non-Hermitian heavy tailed random matrices
• Spectrum of large random reversible Markov chains: heavy-tailed weights on the complete graph
• Poisson convergence for the largest eigenvalues of heavy tailed random matrices
• The spectrum of heavy tailed random matrices
• Spectrum of high-dimensional sample covariance and related matrices: a selective review
• Random matrix theory for heavy-tailed time series
• Delocalization at small energy for heavy-tailed random matrices
• Central limit theorems for linear statistics of heavy tailed random matrices
• Spectrum of large random Markov chains: Heavy-tailed weights on the oriented complete graph
• Freeness over the diagonal for large random matrices
• Extreme eigenvalue statistics of \(m\)-dependent heavy-tailed matrices
• Spectrum of heavy-tailed elliptic random matrices
• Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations
• Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series
• Amalgamated free Lévy processes as limits of sample covariance matrices

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