Universality of covariance matrices

DOI10.1214/13-AAP939zbMATH1296.15021MaRDI QIDQ2454401FDOQ2454401

Authors Natesh S. Pillai, Jun Yin

Publication date 13 June 2014

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1110.2501

zbMATH Keywords

Stieltjes transformcovariance matrixuniversalityWishart matrixDyson Brownian motionTracy-Widom lawMarcenko-Pastur lawasymptotic distribution of the eigenvaluesextremal singular valueslocal statistics of eigenvalues

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Brownian motion (60J65) Disordered systems (random Ising models, random Schrödinger operators, etc.) in equilibrium statistical mechanics (82B44)

Abstract: In this paper we prove the universality of covariance matrices of the form $H_{NimesN}=X^{dagger}X$ where $X$ is an $MimesN$ rectangular matrix with independent real valued entries $x_{ij}$ satisfying $mathbbE{x}_{ij}=0$ and $mathbbE{x}_{ij}^2=frac1M$, $N$, $Moinfty$. Furthermore it is assumed that these entries have sub-exponential tails or sufficiently high number of moments. We will study the asymptotics in the regime $N/M=d_{N}in(0,infty),li{m}_{Noinfty}{d}_{N}eq0,infty$. Our main result is the edge universality of the sample covariance matrix at both edges of the spectrum. In the case $li{m}_{Noinfty}{d}_N=1$, we only focus on the largest eigenvalue. Our proof is based on a novel version of the Green function comparison theorem for data matrices with dependent entries. En route to proving edge universality, we establish that the Stieltjes transform of the empirical eigenvalue distribution of $H$ is given by the Marcenko-Pastur law uniformly up to the edges of the spectrum with an error of order $(Neta{)}^{-1}$ where $eta$ is the imaginary part of the spectral parameter in the Stieltjes transform. Combining these results with existing techniques we also show bulk universality of covariance matrices. All our results hold for both real and complex valued entries.

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