On the empirical spectral distribution for certain models related to sample covariance matrices with different correlations

DOI10.1142/S2010326322500307zbMATH Open1493.60012arXiv2103.03204OpenAlexW3217747549MaRDI QIDQ5092965FDOQ5092965

Authors: Alicja Dembczak-Kołodziejczyk, Anna Lytova 

Publication date: 26 July 2022

Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)

Abstract: Given $n,minmathbbN$, we study two classes of large random matrices of the form ${\displaystyle }$ mathcal{L}_n =sum_{alpha=1}^mxi_alpha mathbf{y}_alpha mathbf{y}_alpha ^Tquad ext{and}quad mathcal{A}_n =sum_{alpha =1}^mxi_alpha (mathbf{y}_alpha mathbf{x}_alpha ^T+mathbf{x}_alpha mathbf{y}_alpha ^T), ${\displaystyle }$ where for every $n$, $(x{i}_{a}lpha{)}_{a}lphasubsetmathbbR$ are iid random variables independent of $(mathbf{x}_{a}lpha,mathbf{y}_{a}lpha{)}_{a}lpha$, and $(mathbf{x}_{a}lpha{)}_{a}lpha$, $(mathbf{y}_{a}lpha{)}_{a}lphasubsetmathbb{R}^n$ are two (not necessarily independent) sets of independent random vectors having different covariance matrices and generating well concentrated bilinear forms. We consider two main asymptotic regimes as $n,m(n)oinfty$: a standard one, where $m/noc$, and a slightly modified one, where $m/noinfty$ and $mathbfExio0$ while $mmathbfExi/noc$ for some $cge0$. Assuming that vectors $(mathbf{x}_{a}lpha{)}_{a}lpha$ and $(mathbf{y}_{a}lpha{)}_{a}lpha$ are normalized and isotropic "in average", we prove the convergence in probability of the empirical spectral distributions of $mathcal{L}_n$ and $mathcal{A}_n$ to a version of the Marchenko-Pastur law and so called effective medium spectral distribution, correspondingly. In particular, choosing normalized Rademacher random variables as $(x{i}_{a}lpha{)}_{a}lpha$, in the modified regime one can get a shifted semicircle and semicircle laws. We also apply our results to the certain classes of matrices having block structures, which were studied in [9, 21].

Full work available at URL: https://arxiv.org/abs/2103.03204

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zbMATH Keywords

high dimensional statisticsrandom matricesMarchenko-Pastur lawsample covariance matrices

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Strong limit theorems (60F15)

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Cited In (4)

• ON THE SPECTRAL DECOMPOSITION OF EMPIRICAL CORRELATION MATRICES
• Spectra of bivariate \(\mathrm{VAR}(p)\) models
• Different estimators of the spectral matrix: an empirical comparison testing a new shrinkage estimator
• Marchenko-Pastur law for a random tensor model

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