The singular values and vectors of low rank perturbations of large rectangular random matrices

DOI10.1016/J.JMVA.2012.04.019zbMATH Open1252.15039arXiv1103.2221OpenAlexW2132657058MaRDI QIDQ444963FDOQ444963

Authors: Florent Benaych-Georges, Raj Rao Nadakuditi 

Publication date: 24 August 2012

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: In this paper, we consider the singular values and singular vectors of finite, low rank perturbations of large rectangular random matrices. Specifically, we prove almost sure convergence of the extreme singular values and appropriate projections of the corresponding singular vectors of the perturbed matrix. As in the prequel, where we considered the eigenvalue aspect of the problem, the non-random limiting value is shown to depend explicitly on the limiting singular value distribution of the unperturbed matrix via an integral transforms that linearizes rectangular additive convolution in free probability theory. The large matrix limit of the extreme singular values of the perturbed matrix differs from that of the original matrix if and only if the singular values of the perturbing matrix are above a certain critical threshold which depends on this same aforementioned integral transform. We examine the consequence of this singular value phase transition on the associated left and right singular eigenvectors and discuss the finite $n$ fluctuations above these non-random limits.

Full work available at URL: https://arxiv.org/abs/1103.2221

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zbMATH Keywords

phase transitionsignal processingsingular value decompositionrandom matricesfree probabilityrandom perturbationHaar measuremeasurement matrixrandom eigenvaluesrandom eigenvectorssample covariance matrices

Mathematics Subject Classification ID

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

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