Large complex correlated Wishart matrices: the Pearcey kernel and expansion at the hard edge

DOI10.1214/15-EJP4441MaRDI QIDQ287680zbMATH OpenOpenAlexFDO

Authors W. Hachem, Adrien Hardy, Jamal Najim

Publication date 23 May 2016

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

Full work available at URL https://arxiv.org/abs/1507.06013, https://projecteuclid.org/euclid.ejp/1454514661

zbMATH Keywords

Bessel kernellarge random matricesPearcey kernelWishart matrix

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Strong limit theorems (60F15)

Abstract: We study the eigenvalue behaviour of large complex correlated Wishart matrices near an interior point of the limiting spectrum where the density vanishes (cusp point), and refine the existing results at the hard edge as well. More precisely, under mild assumptions for the population covariance matrix, we show that the limiting density vanishes at generic cusp points like a cube root, and that the local eigenvalue behaviour is described by means of the Pearcey kernel if an extra decay assumption is satisfied. As for the hard edge, we show that the density blows up like an inverse square root at the origin. Moreover, we provide an explicit formula for the $1/N$ correction term for the fluctuation of the smallest random eigenvalue.

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Cited in

(24)

• Hard-edge asymptotics of the Jacobi growth process
• The two-periodic Aztec diamond and matrix valued orthogonal polynomials
• On the deformed Pearcey determinant
• Cusp universality for random matrices. I: Local law and the complex Hermitian case
• Asymptotic correlations with corrections for the circular Jacobi \(\beta\)-ensemble
• Eigenstate thermalization hypothesis for Wigner matrices
• Edge universality for non-Hermitian random matrices
• Asymptotics of Fredholm determinant associated with the Pearcey kernel
• A survey on the eigenvalues local behavior of large complex correlated Wishart matrices
• Finite N corrections to the limiting distribution of the smallest eigenvalue of Wishart complex matrices
• Eigenvalue statistics for product complex Wishart matrices
• Rate of convergence at the hard edge for various Pólya ensembles of positive definite matrices
• Nonintersecting Brownian bridges between reflecting or absorbing walls
• Asymptotic and convergent expansions for solutions of third-order linear differential equations with a large parameter
• Gap probability for the hard edge Pearcey process
• Upper bounds for the maximum deviation of the Pearcey process
• On the generating function of the Pearcey process
• Dip-ramp-plateau for Dyson Brownian motion from the identity on U(N)
• Pearcey universality at cusps of polygonal lozenge tilings
• Extreme eigenvalues of random matrices from Jacobi ensembles
• On the spectral edge of non-Hermitian random matrices
• Eigenvector overlaps in large sample covariance matrices and nonlinear shrinkage estimators
• Large complex correlated Wishart matrices: fluctuations and asymptotic independence at the edges
• Universality in complex Wishart ensembles for general covariance matrices with 2 distinct eigenvalues

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