Tracy-Widom distribution for the largest eigenvalue of real sample covariance matrices with general population

DOI10.1214/16-AAP1193zbMATH Open1384.60026arXiv1409.4979OpenAlexW2963270653MaRDI QIDQ511489FDOQ511489

Kevin Schnelli, Ji Oon Lee

Publication date: 21 February 2017

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: We consider sample covariance matrices of the form $mathcalQ=(Sigm{a}^{1/2}X)(Sigm{a}^{1/2}X{)}^{*}$, where the sample $X$ is an $MimesN$ random matrix whose entries are real independent random variables with variance $1/N$ and where $Sigma$ is an $MimesM$ positive-definite deterministic matrix. We analyze the asymptotic fluctuations of the largest rescaled eigenvalue of $mathcalQ$ when both $M$ and $N$ tend to infinity with $N/Modin(0,infty)$. For a large class of populations $Sigma$ in the sub-critical regime, we show that the distribution of the largest rescaled eigenvalue of $mathcalQ$ is given by the type-1 Tracy-Widom distribution under the additional assumptions that (1) either the entries of $X$ are i.i.d. Gaussians or (2) that $Sigma$ is diagonal and that the entries of $X$ have a subexponential decay.

Full work available at URL: https://arxiv.org/abs/1409.4979

zbMATH Keywords

sample covariance matrixTracy-Widom distributionedge universality

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

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