Gaussian fluctuations for linear spectral statistics of large random covariance matrices

DOI10.1214/15-AAP1135zbMATH Open1408.60011arXiv1309.3728OpenAlexW1639175092MaRDI QIDQ303975FDOQ303975

Authors: Jamal Najim, Jian-Feng Yao 

Publication date: 23 August 2016

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

Abstract: Consider a $Nimesn$ matrix $Sigm{a}_n=frac1sqrtn{R}_n^{1/2}{X}_n$, where $R_n$ is a nonnegative definite Hermitian matrix and $X_n$ is a random matrix with i.i.d. real or complex standardized entries. The fluctuations of the linear statistics of the eigenvalues [operatorname {Trace}f �igl(Sigma_nSigma_n^*�igr)=sum_{i=1}^Nf(lambda_i),qquad (lambda_i) eigenvalues of Sigma_nSigma_n^*,] are shown to be Gaussian, in the regime where both dimensions of matrix $Sigm{a}_n$ go to infinity at the same pace and in the case where $f$ is of class $C^3$, that is, has three continuous derivatives. The main improvements with respect to Bai and Silverstein's CLT [Ann. Probab. 32 (2004) 553-605] are twofold: First, we consider general entries with finite fourth moment, but whose fourth cumulant is nonnull, that is, whose fourth moment may differ from the moment of a (real or complex) Gaussian random variable. As a consequence, extra terms proportional to $$ and $$ appear in the limiting variance and in the limiting bias, which not only depend on the spectrum of matrix $R_n$ but also on its eigenvectors. Second, we relax the analyticity assumption over $f$ by representing the linear statistics with the help of Helffer-Sj"{o}strand's formula. The CLT is expressed in terms of vanishing L'{e}vy-Prohorov distance between the linear statistics' distribution and a Gaussian probability distribution, the mean and the variance of which depend upon $N$ and $n$ and may not converge.

Full work available at URL: https://arxiv.org/abs/1309.3728

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zbMATH Keywords

central limit theoremlarge random matrixlinear statistics of the eigenvalues

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

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Cited In (44)

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