Singular vector distribution of sample covariance matrices

DOI10.1017/APR.2019.10MaRDI QIDQ5203898zbMATH OpenOpenAlexWikidataFDO

Authors Xiucai Ding

Publication date 9 December 2019

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1611.01837

zbMATH Keywords

deformed Marcenko-Pastur lawrandom matricessingular vectors

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Disordered systems (random Ising models, random Schrödinger operators, etc.) in equilibrium statistical mechanics (82B44)

Abstract: We consider a class of sample covariance matrices of the form $Q=TX{X}^{\ast }{T}^{\ast },$ where $X=(x_{ij})$ is an $MimesN$ rectangular matrix consisting of i.i.d entries and $T$ is a deterministic matrix satisfying $T^{\ast }T$ is diagonal. Assuming $M$ is comparable to $N$, we prove that the distribution of the components of the singular vectors close to the edge singular values agrees with that of Gaussian ensembles provided the first two moments of $x_{ij}$ coincide with the Gaussian random variables. For the singular vectors associated with the bulk singular values, the same conclusion holds if the first four moments of $x_{ij}$ match with those of Gaussian random variables. Similar results have been proved for Wigner matrices by Knowles and Yin.

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Cited in

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• Sample covariance matrix for random vectors with heavy tails
• Spiked separable covariance matrices and principal components
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• The Dyson equalizer: adaptive noise stabilization for low-rank signal detection and recovery

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