Almost sure localization of the eigenvalues in a Gaussian information plus noise model. Application to the spiked models.

DOI10.1214/EJP.V16-943zbMATH Open1245.15039arXiv1009.5807OpenAlexW2165903157MaRDI QIDQ428560FDOQ428560

Authors: Philippe Loubaton, Pascal Vallet 

Publication date: 22 June 2012

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: Let $$ be a $MimesN$ random matrix defined by $$ where $mathbf{B}_N$ is a uniformly bounded deterministic matrix and where $mathbf{W}_N$ is an independent identically distributed complex Gaussian matrix with zero mean and variance $frac1N$ entries. The purpose of this paper is to study the almost sure location of the eigenvalues $hat{lambda}_{1,N}geq\mathrm{...}geqhat{lambda}_{M,N}$ of the Gram matrix $$ when $M$ and $N$ converge to $+infty$ such that the ratio $c_N=fracMN$ converges towards a constant $c>0$. The results are used in order to derive, using an alernative approach, known results concerning the behaviour of the largest eigenvalues of $$ when the rank of $mathbf{B}_N$ remains fixed when $M$ and $N$ converge to $+infty$.

Full work available at URL: https://arxiv.org/abs/1009.5807

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zbMATH Keywords

random matrix theoryGram matrixspiked modelsGaussian information plus noise modellocalization of the eigenvalues

Mathematics Subject Classification ID

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

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• A random matrix approach to neural networks
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