Large deviations for eigenvalues of sample covariance matrices, with applications to mobile communication systems

DOI10.1239/AAP/1231340164MaRDI QIDQ3603197zbMATH OpenOpenAlexFDO

Authors Anne Fey, Remco van der Hofstad, Marten J. Klok

Publication date 16 February 2009

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0712.3650

zbMATH Keywords

CDMA with soft-decision parallel interference cancellationeigenvaluelarge deviationsample covariance matrix

Mathematics Subject Classification ID

Large deviations (60F10) Measures of association (correlation, canonical correlation, etc.) (62H20) Sampling theory in information and communication theory (94A20)

Abstract: We study sample covariance matrices of the form $W=frac1nC{C}^T$, where $C$ is a $kimesn$ matrix with i.i.d. mean zero entries. This is a generalization of so-called Wishart matrices, where the entries of $C$ are independent and identically distributed standard normal random variables. Such matrices arise in statistics as sample covariance matrices, and the high-dimensional case, when $k$ is large, arises in the analysis of DNA experiments. We investigate the large deviation properties of the largest and smallest eigenvalues of $W$ when either $k$ is fixed and $noinfty$, or $k_{n}oinfty$ with $k_n=o(n/loglogn)$, in the case where the squares of the i.i.d. entries have finite exponential moments. Previous results, proving a.s. limits of the eigenvalues, only require finite fourth moments. Our most explicit results for $k$ large are for the case where the entries of $C$ are $pm1$ with equal probability. We relate the large deviation rate functions of the smallest and largest eigenvalue to the rate functions for independent and identically distributed standard normal entries of $C$. This case is of particular interest, since it is related to the problem of the decoding of a signal in a code division multiple access system arising in mobile communication systems. In this example, $k$ plays the role of the number of users in the system, and $n$ is the length of the coding sequence of each of the users. Each user transmits at the same time and uses the same frequency, and the codes are used to distinguish the signals of the separate users. The results imply large deviation bounds for the probability of a bit error due to the interference of the various users.

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Cited in

(17)

• Local inhomogeneous circular law
• Large deviations of the extreme eigenvalues of random deformations of matrices
• Moderate deviations for extreme eigenvalues of real-valued sample covariance matrices
• Large deviations for extreme eigenvalues of deformed Wigner random matrices
• Asymptotic analysis for extreme eigenvalues of principal minors of random matrices
• Large deviations for the largest eigenvalue of matrices with variance profiles
• Large deviations for the largest eigenvalue of the sum of two random matrices
• Confidence bands for Horvitz-Thompson estimators using sampled noisy functional data
• Large deviations for the largest eigenvalue of sub-Gaussian matrices
• Small deviation estimates for the largest eigenvalue of Wigner matrices
• Large deviations for code division multiple access systems
• On Certain Large Random Hermitian Jacobi Matrices With Applications to Wireless Communications
• Large-deviation asymptotics of condition numbers of random matrices
• Moderate deviations for extreme eigenvalues of beta-Laguerre ensembles
• Spectral distributions of adjacency and Laplacian matrices of random graphs
• Large deviations of extremal eigenvalues of sample covariance matrices
• Large deviations for the largest eigenvalue of Rademacher matrices

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