Local Marchenko-Pastur law at the hard edge of sample covariance matrices

DOI10.1063/1.4801856zbMATH Open1282.15031arXiv1206.1730OpenAlexW3103665959MaRDI QIDQ5397828FDOQ5397828

B. Schlein, Anna Maltsev, Claudio Cacciapuoti

Publication date: 24 February 2014

Published in: Journal of Mathematical Physics (Search for Journal in Brave)

Abstract: Let $X_N$ be a $NimesN$ matrix whose entries are i.i.d. complex random variables with mean zero and variance $frac1N$. We study the asymptotic spectral distribution of the eigenvalues of the covariance matrix $X_N^{*}{X}_N$ for $Noinfty$. We prove that the empirical density of eigenvalues in an interval $[E,E+eta]$ converges to the Marchenko-Pastur law locally on the optimal scale, $Neta/sqrtEgg(logN{)}^b$, and in any interval up to the hard edge, $frac(logN{)}^b{N}^{2}lesssimEleq4-kappa$, for any $kappa>0$. As a consequence, we show the complete delocalization of the eigenvectors.

Full work available at URL: https://arxiv.org/abs/1206.1730

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52)

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Cited In (15)

• Local Marchenko–Pastur law at the hard edge of the sample covariance ensemble
• Quantitative universality for the largest eigenvalue of sample covariance matrices
• Local circular law for random matrices
• Bounds for the Stieltjes transform and the density of states of Wigner matrices
• On delocalization of eigenvectors of random non-Hermitian matrices
• Upper bound for intermediate singular values of random matrices
• Random matrices: overcrowding estimates for the spectrum
• No-gaps delocalization for general random matrices
• Delocalization of eigenvectors of random matrices with independent entries
• Superintegrability of matrix student's distribution
• Estimation of deviation for random covariance matrices
• Partial linear eigenvalue statistics for Wigner and sample covariance random matrices
• Universality of covariance matrices
• Random weighted projections, random quadratic forms and random eigenvectors
• Spectral properties of Wigner matrices

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