Isotropic local laws for sample covariance and generalized Wigner matrices

DOI10.1214/EJP.v19-3054zbMath1288.15044arXiv1308.5729OpenAlexW1995241424MaRDI QIDQ2448522

Antti Knowles, Jun Yin, László Erdős, Bloemendal Alex, Horng-Tzer Yau

Publication date: 2 May 2014

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.5729

zbMATH Keywords

Stieltjes transformsample covariance matrixdelocalizationeigenvalue rigidityMarchenko-Pastur lawgeneralized Wigner matricesisotropic local law

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52)

Related Items (65)

Optimally Weighted PCA for High-Dimensional Heteroscedastic Data ⋮ Statistical inference for principal components of spiked covariance matrices ⋮ Normal fluctuation in quantum ergodicity for Wigner matrices ⋮ Local elliptic law ⋮ Local spectral statistics of Gaussian matrices with correlated entries ⋮ Neyman-Pearson classification: parametrics and sample size requirement ⋮ On the principal components of sample covariance matrices ⋮ Isotropic self-consistent equations for mean-field random matrices ⋮ A necessary and sufficient condition for edge universality at the largest singular values of covariance matrices ⋮ Singular vector and singular subspace distribution for the matrix denoising model ⋮ Mesoscopic perturbations of large random matrices ⋮ Random band matrices in the delocalized phase. III: Averaging fluctuations ⋮ Fermionic eigenvector moment flow ⋮ Spectral statistics of sparse Erdős-Rényi graph Laplacians ⋮ Transition from Tracy-Widom to Gaussian fluctuations of extremal eigenvalues of sparse Erdős-Rényi graphs ⋮ On delocalization of eigenvectors of random non-Hermitian matrices ⋮ Universality for general Wigner-type matrices ⋮ Sample canonical correlation coefficients of high-dimensional random vectors: Local law and Tracy–Widom limit ⋮ Gaussian fluctuations in the equipartition principle for Wigner matrices ⋮ Sample canonical correlation coefficients of high-dimensional random vectors with finite rank correlations ⋮ Functional central limit theorems for Wigner matrices ⋮ Convergence rate to the Tracy-Widom laws for the largest eigenvalue of sample covariance matrices ⋮ Quantitative Tracy-Widom laws for the largest eigenvalue of generalized Wigner matrices ⋮ Universality of approximate message passing with semirandom matrices ⋮ Edge statistics for Lozenge tilings of polygons. I: Concentration of height function on strip domains ⋮ Convergence of eigenvector empirical spectral distribution of sample covariance matrices ⋮ On the spectral form factor for random matrices ⋮ Spiked multiplicative random matrices and principal components ⋮ Delocalization of eigenvectors of random matrices with independent entries ⋮ Long random matrices and tensor unfolding ⋮ Exponential growth of random determinants beyond invariance ⋮ Edge rigidity and universality of random regular graphs of intermediate degree ⋮ Asymptotic Lyapunov exponents for large random matrices ⋮ Eigenvector delocalization for non‐Hermitian random matrices and applications ⋮ The local circular law. III: General case ⋮ Applications of mesoscopic CLTs in random matrix theory ⋮ Eigenstate thermalization hypothesis for Wigner matrices ⋮ The eigenvector moment flow and local quantum unique ergodicity ⋮ Anisotropic local laws for random matrices ⋮ High dimensional deformed rectangular matrices with applications in matrix denoising ⋮ Random characteristics for Wigner matrices ⋮ Edge universality of separable covariance matrices ⋮ A goodness-of-fit test for stochastic block models ⋮ Singular vector distribution of sample covariance matrices ⋮ Spiked separable covariance matrices and principal components ⋮ On fluctuations of global and mesoscopic linear statistics of generalized Wigner matrices ⋮ Central limit theorem for mesoscopic eigenvalue statistics of deformed Wigner matrices and sample covariance matrices ⋮ Eigenvectors and controllability of non-Hermitian random matrices and directed graphs ⋮ Eigenvectors of random matrices: A survey ⋮ Non universality of fluctuations of outlier eigenvectors for block diagonal deformations of Wigner matrices ⋮ Fluctuations for differences of linear eigenvalue statistics for sample covariance matrices ⋮ Local laws for polynomials of Wigner matrices ⋮ On the spectrum of random anti-symmetric and tournament matrices ⋮ Optimal delocalization for generalized Wigner matrices ⋮ Thermalisation for Wigner matrices ⋮ Optimal multi-resolvent local laws for Wigner matrices ⋮ Limiting distribution of the sample canonical correlation coefficients of high-dimensional random vectors ⋮ Large deviations for the largest eigenvalue of Rademacher matrices ⋮ High dimensional normality of noisy eigenvectors ⋮ Estimation of deviation for random covariance matrices ⋮ Spiked sample covariance matrices with possibly multiple bulk components ⋮ Quantitative results for banded Toeplitz matrices subject to random and deterministic perturbations ⋮ Random perturbations of matrix polynomials ⋮ Universal characteristics of deep neural network loss surfaces from random matrix theory ⋮ Fluctuations in local quantum unique ergodicity for generalized Wigner matrices

This page was built for publication: Isotropic local laws for sample covariance and generalized Wigner matrices