Isotropic local laws for sample covariance and generalized Wigner matrices

DOI10.1214/EJP.V19-3054zbMATH Open1288.15044arXiv1308.5729OpenAlexW1995241424MaRDI QIDQ2448522FDOQ2448522

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)

Abstract: We consider sample covariance matrices of the form $X^{*}X$, where $X$ is an $MimesN$ matrix with independent random entries. We prove the isotropic local Marchenko-Pastur law, i.e. we prove that the resolvent $(X^{*}X-z{)}^{-1}$ converges to a multiple of the identity in the sense of quadratic forms. More precisely, we establish sharp high-probability bounds on the quantity $langlev,(X^{*}X-z{)}^{-1}wangle-langlev,wanglem(z)$, where $m$ is the Stieltjes transform of the Marchenko-Pastur law and $v,winmathbb{C}^N$. We require the logarithms of the dimensions $M$ and $N$ to be comparable. Our result holds down to scales $Imzgeq{N}^{-1+epsilon}$ and throughout the entire spectrum away from 0. We also prove analogous results for generalized Wigner matrices.

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

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zbMATH Keywords

Stieltjes transformdelocalizationsample covariance matrixeigenvalue rigidityMarchenko-Pastur lawgeneralized Wigner matricesisotropic local law

Mathematics Subject Classification ID

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

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