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

DOI10.1214/16-AAP1193MaRDI QIDQ511489zbMATH OpenOpenAlexFDO

Authors Ji Oon Lee, Kevin Schnelli

Publication date 21 February 2017

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

Full work available at URL https://arxiv.org/abs/1409.4979, https://projecteuclid.org/euclid.aoap/1481792600

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)

Abstract: We consider sample covariance matrices of the form $mathcalQ=(Sigm{a}^{1/2}X)(Sigm{a}^{1/2}X{)}^{\ast }$, 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.

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(51)

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• Correlated random matrices: band rigidity and edge universality
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• Local law and Tracy-Widom limit for sparse random matrices
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