Local law for random Gram matrices

DOI10.1214/17-EJP42MaRDI QIDQ516104zbMATH OpenOpenAlexFDO

Authors Johannes Alt, László Erdős, Torben Krüger

Publication date 21 March 2017

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1606.07353, https://projecteuclid.org/euclid.ejp/1488942016

zbMATH Keywords

hard edgeMarchenko-Pastur lawcapacity of MIMO channelsgeneral variance profilesoft edge

Mathematics Subject Classification ID

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

Abstract: We prove a local law in the bulk of the spectrum for random Gram matrices $X{X}^{\ast }$, a generalization of sample covariance matrices, where $X$ is a large matrix with independent, centered entries with arbitrary variances. The limiting eigenvalue density that generalizes the Marchenko-Pastur law is determined by solving a system of nonlinear equations. Our entrywise and averaged local laws are on the optimal scale with the optimal error bounds. They hold both in the square case (hard edge) and in the properly rectangular case (soft edge). In the latter case we also establish a macroscopic gap away from zero in the spectrum of $X{X}^{\ast }$.

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Cited in

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• Sample canonical correlation coefficients of high-dimensional random vectors: Local law and Tracy–Widom limit
• Universality of the least singular value for sparse random matrices
• Quadratic vector equations on complex upper half-plane
• Singularities of the density of states of random Gram matrices
• Data-driven optimal shrinkage of singular values under high-dimensional noise with separable covariance structure with application
• Local laws for polynomials of Wigner matrices
• The cubic law, the invariance principle, and related topics in the theory of analytic functions of random matrices
• Edge statistics of large dimensional deformed rectangular matrices
• Local inhomogeneous circular law

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