Random covariance matrices: universality of local statistics of eigenvalues

DOI10.1214/11-AOP648zbMATH Open1247.15036arXiv0912.0966OpenAlexW3100430377MaRDI QIDQ428150FDOQ428150

Van Vu, Terence Tao

Publication date: 19 June 2012

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

Abstract: We study the eigenvalues of the covariance matrix $frac1n{M}^{*}M$ of a large rectangular matrix $M=M_{n,p}=(zet{a}_{ij}{)}_{1leqileqp;1leqjleqn}$ whose entries are i.i.d. random variables of mean zero, variance one, and having finite $C_0$th moment for some sufficiently large constant $C_0$. The main result of this paper is a Four Moment theorem for i.i.d. covariance matrices (analogous to the Four Moment theorem for Wigner matrices established by the authors in [Acta Math. (2011) Random matrices: Universality of local eigenvalue statistics] (see also [Comm. Math. Phys. 298 (2010) 549--572])). We can use this theorem together with existing results to establish universality of local statistics of eigenvalues under mild conditions. As a byproduct of our arguments, we also extend our previous results on random Hermitian matrices to the case in which the entries have finite $C_0$th moment rather than exponential decay.

Full work available at URL: https://arxiv.org/abs/0912.0966

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zbMATH Keywords

covariance matricesuniversalitylarge random matricesWigner matricesasymptotic local eigenvalue statisticsfour moment theoremrandom Hermitian matrix

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

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