Spectral measure of heavy tailed band and covariance random matrices

DOI10.1007/S00220-009-0822-4MaRDI QIDQ2391141zbMATHOpenAlexWikidataFDO

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

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)

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.

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Cited in

(31)

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

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