Random covariance matrices: universality of local statistics of eigenvalues

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

Authors Terence Tao, Van Vu 

Publication date 19 June 2012

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

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

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)

Abstract: We study the eigenvalues of the covariance matrix $frac1n{M}^{\ast }M$ 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.

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Cited In (69)

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• An RIHT statistic for testing the equality of several high-dimensional mean vectors under homoskedasticity
• Outlier detection via a minimum ridge covariance determinant estimator
• Wavelet eigenvalue regression in high dimensions

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