Local law for random Gram matrices

DOI10.1214/17-EJP42zbMATH Open1376.60014arXiv1606.07353OpenAlexW3104332047MaRDI QIDQ516104FDOQ516104

Authors: Johannes Alt, László Erdős, Torben Krüger 

Publication date: 21 March 2017

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

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 $X{X}^{\ast }$.

Full work available at URL: https://arxiv.org/abs/1606.07353

Recommendations

• Singularities of the density of states of random Gram matrices
• Limit spectra of random Gram matrices
• Isotropic local laws for sample covariance and generalized Wigner matrices
• Local inhomogeneous circular law
• Local Marchenko-Pastur law at the hard edge of sample covariance matrices

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)

Cited In (25)

• Non-Hermitian random matrices with a variance profile. II: properties and examples
• Quantitative results for banded Toeplitz matrices subject to random and deterministic perturbations
• Fluctuations for differences of linear eigenvalue statistics for sample covariance matrices
• Anisotropic local laws for random matrices
• Quantitative universality for the largest eigenvalue of sample covariance matrices
• Title not available (Why is that?)
• Non-Hermitian random matrices with a variance profile. I: Deterministic equivalents and limiting esds
• Biwhitening Reveals the Rank of a Count Matrix
• Local Law for Singular Values of Oscillatory Matrices
• Convergence rate to the Tracy-Widom laws for the largest eigenvalue of sample covariance matrices
• Sample canonical correlation coefficients of high-dimensional random vectors with finite rank correlations
• Location of the spectrum of Kronecker random matrices
• Limit spectra of random Gram matrices
• The Dyson equation with linear self-energy: spectral bands, edges and cusps
• Edge universality of separable covariance matrices
• Sample canonical correlation coefficients of high-dimensional random vectors: Local law and Tracy–Widom limit
• Universality for general Wigner-type matrices
• Universality of the least singular value for sparse random matrices
• Quadratic vector equations on complex upper half-plane
• Data-driven optimal shrinkage of singular values under high-dimensional noise with separable covariance structure with application
• Singularities of the density of states of random Gram matrices
• 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

This page was built for publication: Local law for random Gram matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q516104)