Eigenvalue variance bounds for covariance matrices

zbMATH Open1326.60011arXiv1309.6265MaRDI QIDQ5500152FDOQ5500152

Authors: S. Dallaporta 

Publication date: 5 August 2015

Abstract: This work is concerned with finite range bounds on the variance of individual eigenvalues of random covariance matrices, both in the bulk and at the edge of the spectrum. In a preceding paper, the author established analogous results for Wigner matrices and stated the results for covariance matrices. They are proved in the present paper. Relying on the LUE example, which needs to be investigated first, the main bounds are extended to complex covariance matrices by means of the Tao, Vu and Wang Four Moment Theorem and recent localization results by Pillai and Yin. The case of real covariance matrices is obtained from interlacing formulas.

Full work available at URL: https://arxiv.org/abs/1309.6265

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zbMATH Keywords

Wasserstein distancelocalizationrandom matricesvariance boundseigenvalue counting functionfour moment theorem

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

Cited In (10)

• Bounds for the trace of the difference of the covariance matrices of the OLSE and BLUE
• High temperature asymptotics of orthogonal mean-field spin glasses
• Rigorous stochastic bounds for the error in large covariance matrices
• A note on variance bounds and location of eigenvalues
• Distribution approximation of covariance matrix eigenvalues
• Inferring the eigenvalues of covariance matrices from limited, noisy data
• Eigen structure of a new class of covariance and inverse covariance matrices
• Eigenvalue variance bounds for Wigner and covariance random matrices
• Eigenvalues distribution limit of covariance matrices with AR processes entries
• A sharp rate of convergence for the empirical spectral measure of a random unitary matrix

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