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

DOI10.1214/EJP.V16-943MaRDI QIDQ428560zbMATHOpenAlexFDO

Authors Philippe Loubaton, Pascal Vallet

Publication date 22 June 2012

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

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

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)

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 $+infty$.

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• Free probability of type B and asymptotics of finite-rank perturbations of random matrices
• The limiting spectral distribution of large-dimensional general information-plus-noise-type matrices
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• A random matrix approach to neural networks
• A CLT for linear spectral statistics of large random information-plus-noise matrices
• Edge statistics of large dimensional deformed rectangular matrices
• Limiting Eigenvectors of Outliers for Spiked Information-Plus-Noise Type Matrices
• The random matrix regime of Maronna's M-estimator with elliptically distributed samples
• Tracy-Widom law for the extreme eigenvalues of large signal-plus-noise matrices
• Large complex correlated Wishart matrices: fluctuations and asymptotic independence at the edges
• On the almost sure location of the singular values of certain Gaussian block-Hankel large random matrices
• Statistical inference for principal components of spiked covariance matrices
• Spectral analysis of the Gram matrix of mixture models
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