High-dimensional regimes of non-stationary Gaussian correlated Wishart matrices

DOI10.1142/S201032632250006XMaRDI QIDQ6063732zbMATH OpenFDO

Authors

Publication date 8 November 2023

Published in Random Matrices: Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2011.01199

zbMATH Keywords

empirical spectral distributionsfunctional limit theoremshigh-dimensional regimeMalliavin calculusnon-stationarityself-similar Gaussian processessemicircular distributionWishart matrices

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07)

Abstract: We study the high-dimensional asymptotic regimes of correlated Wishart matrices $d^{-1}mathcalYmathcal{Y}^T$, where $mathcalY$ is a $nimesd$ Gaussian random matrix with correlated and non-stationary entries. We prove that under different normalizations, two distinct regimes emerge as both $n$ and $d$ grow to infinity. The first regime is the one of central convergence, where the law of the properly renormalized Wishart matrices becomes close in Wasserstein distance to that of a Gaussian orthogonal ensemble matrix. In the second regime, a non-central convergence happens, and the law of the normalized Wishart matrices becomes close in Wasserstein distance to that of the so-called Rosenblatt-Wishart matrix recently introduced by Nourdin and Zheng. We then proceed to show that the convergences stated above also hold in a functional setting, namely as weak convergence in $C([a,b];M_n(mathbbR))$. As an application of our main result (in the central convergence regime), we show that it can be used to prove convergence in expectation of the empirical spectral distributions of the Wishart matrices to the semicircular law. Our findings complement and extend a rich collection of results on the study of the fluctuations of Gaussian Wishart matrices, and we provide explicit examples based on Gaussian entries given by normalized increments of a bi-fractional or a sub-fractional Brownian motion.

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Cited in

(6)

• Asymptotic correlations for Gaussian and Wishart matrices with external source
• High-dimensional regime for Wishart matrices based on the increments of the solution to the stochastic heat equation
• Spherical Poisson waves
• Limit behavior in high-dimensional regime for the Wishart tensors in Wiener chaos
• Limit behavior in high-dimensional regime for Wishart tensors with Rosenblatt entries
• Tall random matrices with chaotic entries: approximate isometry and covariance estimation

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