Local Marchenko–Pastur law at the hard edge of the sample covariance ensemble

DOI10.1063/5.0121895MaRDI QIDQ6142818zbMATH OpenFDO

Authors Anna Maltsev

Publication date 4 January 2024

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

Full work available at URL https://arxiv.org/abs/2206.01971

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

Abstract: Consider an $N$ by $N$ matrix $X$ of complex entries with iid real and imaginary parts. We show that the local density of eigenvalues of $X^{\ast }X$ converges to the Marchenko-Pastur law on the optimal scale with probability $1$. We also obtain rigidity of the eigenvalues in the bulk and near both hard and soft edges. Here we avoid logarithmic and polynomial corrections by working directly with high powers of expectation of the Stieltjes transforms. We work under the assumption that the entries have a finite 4th moment and are truncated at $N^{1/4}$. In this work we simplify and adapt the methods from prior papers of G"otze-Tikhomirov and Cacciapuoti-Maltsev-Schlein to covariance matrices.

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Cites work

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Cited in

(1)

• Local laws for sparse sample covariance matrices without the truncation condition

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