Singular values of large non-central random matrices

DOI10.1142/S2010326320500124MaRDI QIDQ3387063zbMATH OpenFDO

Authors Włodek Bryc, Jack W. Silverstein

Publication date 12 January 2021

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

Full work available at URL https://arxiv.org/abs/1802.02960

zbMATH Keywords

asymptotic normalityfixed-rank perturbationsnon-central random matricessingular values

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Convergence of probability measures (60B10) Random matrices (probabilistic aspects) (60B20) Genetics and epigenetics (92D10)

Abstract: We study largest singular values of large random matrices, each with mean of a fixed rank $K$. Our main result is a limit theorem as the number of rows and columns approach infinity, while their ratio approaches a positive constant. It provides a decomposition of the largest $K$ singular values into the deterministic rate of growth, random centered fluctuations given as explicit linear combinations of the entries of the matrix, and a term negligible in probability. We use this representation to establish asymptotic normality of the largest singular values for random matrices with means that have block structure. We also deduce asymptotic normality for the largest eigenvalues of the normalized covariance matrix arising in a model of population genetics.

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Cited in

(7)

• Singular value decomposition of large random matrices (for two-way classification of microarrays)
• The asymptotic distribution of singular values with applications to canonical correlations and correspondence analysis
• Estimation of singular values of very large matrices using random sampling
• On the singular values of random matrices
• The singular values and vectors of low rank perturbations of large rectangular random matrices
• On the singular values of Gaussian random matrices
• Distribution-free online change detection for low-rank images

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