Distribution of eigenvalues of sample covariance matrices with tensor product samples

Abstract: We consider

n^{2} i m e s n^{2}

real symmetric and hermitian matrices

M_{n}

, which are equal to sum of

m_{n}

tensor products of vectors

X^{m} u = B (Y^{m} u o t i m e s Y^{m} u)

,

m u = 1, d o t s, m_{n}

, where

Y^{m} u

are i.i.d. random vectors from

m a t h b b R^{n} (m a t h b b C^{n})

with zero mean and unit variance of components, and

B

is an

n^{2} i m e s n^{2}

positive definite non-random matrix. We prove that if

m_{n} / n^{2} o c i n [0, + i n f t y)

and the Normalized Counting Measure of eigenvalues of

B J B

, where

J

is defined below, converges weakly, then the Normalized Counting Measure of eigenvalues of

M_{n}

converges weakly in probability to a non-random limit and its Stieltjes transform can be found from a certain functional equation.

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