On the almost sure location of the singular values of certain Gaussian block-Hankel large random matrices

DOI10.1007/S10959-015-0614-ZzbMATH Open1390.60032arXiv1405.2006OpenAlexW3100856408MaRDI QIDQ501821FDOQ501821

Philippe Loubaton

Publication date: 10 January 2017

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

Abstract: This paper studies the almost sure location of the eigenvalues of matrices $$ where $$ is a $MLimesN$ block-line matrix whose block-lines $$ are independent identically distributed $LimesN$ Hankel matrices built from i.i.d. standard complex Gaussian sequences. It is shown that if $Mightarrow+infty$ and $fracMLNightarrow{c}_{*}$ ($c_{*}in(0,infty)$), then the empirical eigenvalue distribution of $$ converges almost surely towards the Marcenko-Pastur distribution. More importantly, it is established that if $L=mathcalO(N^{alpha})$ with $alpha<2/3$, then, almost surely, for $N$ large enough, the eigenvalues of $$ are located in the neighbourhood of the Marcenko-Pastur distribution.

Full work available at URL: https://arxiv.org/abs/1405.2006

zbMATH Keywords

integration by parts formulaalmost sure location of the singular valuesMarcenko-Pastur distribution[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Poincar%EF%BF%BD%EF%BF%BD-Nash+inequality&go=Go Poincar��-Nash inequality]random complex Gaussian large block-Hankel matricessingular value limit distribution

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

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Cited In (9)

• On the asymptotic behavior of the eigenvalue distribution of block correlation matrices of high-dimensional time series
• Spectral Convergence of Large Block-Hankel Gaussian Random Matrices
• Largest eigenvalue of large random block matrices: A combinatorial approach
• Marchenko–Pastur law with relaxed independence conditions
• Smallest singular value and limit eigenvalue distribution of a class of non-Hermitian random matrices with statistical application
• On the behavior of large empirical autocovariance matrices between the past and the future
• Covariance discriminative power of kernel clustering methods
• Properties of linear spectral statistics of frequency-smoothed estimated spectral coherence matrix of high-dimensional Gaussian time series
• On the almost sure location of the singular values of certain Gaussian block-Hankel large random matrices

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