Random covariance matrices: universality of local statistics of eigenvalues up to the edge

DOI10.1142/S2010326311500055MaRDI QIDQ2893155zbMATH OpenFDO

Authors Ke Wang

Publication date 26 June 2012

Published in Random Matrices: Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.4832

zbMATH Keywords

universalityrandom covariance matricesfour moment theorem

Mathematics Subject Classification ID

Multivariate analysis (62H99) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

Abstract: We study the universality of the eigenvalue statistics of the covariance matrices $frac1n{M}^{\ast }M$ where $M$ is a large $pimesn$ matrix obeying condition $$. In particular, as an application, we prove a variant of universality results regarding the smallest singular value of $M_{p,n}$. This paper is an extension of the results in cite{tvcovariance} from the bulk of the spectrum up to the edge.

Recommendations

• Random covariance matrices: universality of local statistics of eigenvalues
• On universality of bulk local regime of the Hermitian sample covariance matrices
• Universality of covariance matrices
• Universality of local eigenvalue statistics for some sample covariance matrices
• A necessary and sufficient condition for edge universality at the largest singular values of covariance matrices

Cites work

• A universality result for the smallest eigenvalues of certain sample covariance matrices
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Increasing subsequences and the hard-to-soft edge transition in matrix ensembles
• Local semicircle law and complete delocalization for Wigner random matrices
• Random matrices: The distribution of the smallest singular values
• Semicircle law on short scales and delocalization of eigenvectors for Wigner random matrices
• Spectral analysis of large dimensional random matrices

Cited in

(25)

• On delocalization of eigenvectors of random non-Hermitian matrices
• Eigenvalue density for random covariance matrices from a \(2 \times 2\) partitioned GOE
• Edge universality of separable covariance matrices
• Limit theorems for the counting function of eigenvalues up to edge in covariance matrices
• A necessary and sufficient condition for edge universality at the largest singular values of covariance matrices
• Random matrices: Universality of local eigenvalue statistics up to the edge
• Bounds for the Stieltjes transform and the density of states of Wigner matrices
• Universality of local eigenvalue statistics for some sample covariance matrices
• Local Marchenko–Pastur law at the hard edge of the sample covariance ensemble
• Sparse recovery from extreme eigenvalues deviation inequalities
• Eigenvectors of random matrices: A survey
• Local Marchenko-Pastur law at the hard edge of sample covariance matrices
• Tracy-Widom limit for Kendall's tau
• Random weighted projections, random quadratic forms and random eigenvectors
• Beyond universality in random matrix theory
• The Tracy-Widom law for the largest eigenvalue of F type matrices
• Quantitative Tracy-Widom laws for the largest eigenvalue of generalized Wigner matrices
• Large complex correlated Wishart matrices: fluctuations and asymptotic independence at the edges
• Fluctuations of the free energy of the spherical Sherrington-Kirkpatrick model
• Eigenvalue variance bounds for covariance matrices
• Universality for the largest eigenvalue of sample covariance matrices with general population
• Universality of covariance matrices
• Singular vector distribution of sample covariance matrices
• Random matrix theory in statistics: a review
• Convergence rate to the Tracy-Widom laws for the largest eigenvalue of sample covariance matrices

This page was built for publication: Random covariance matrices: universality of local statistics of eigenvalues up to the edge

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2893155)