On Hadamard powers of random Wishart matrices

DOI10.1214/23-ECP561MaRDI QIDQ6177622zbMATH OpenOpenAlexFDO

Authors Jnaneshwar Baslingker

Publication date 17 January 2024

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2210.15320

zbMATH Keywords

Hadamard powersWishart matrices

Mathematics Subject Classification ID

Probability theory on linear topological spaces (60B11) Random matrices (probabilistic aspects) (60B20)

Abstract: A famous result of Horn and Fitzgerald is that the $$-th Hadamard power of any $nimesn$ positive semi-definite (p.s.d) matrix with non-negative entries is p.s.d $$ and is not necessarliy p.s.d for $$ with $$. In this article, we study this question for random Wishart matrix $A_n:=X_n{X}_n^T$, where $X_n$ is $nimesn$ matrix with i.i.d. Gaussians. It is shown that applying $xightarrow|x{|}^{alpha}$ entrywise to $A_n$, the resulting matrix is p.s.d, with high probability, for $alpha>1$ and is not p.s.d, with high probability, for $alpha<1$. It is also shown that if $X_n$ are $lfloor{n}^{s}floorimesn$ matrices, for any $s<1$, the transition of positivity occurs at the exponent $alpha=s$.

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Cites work

• Complete characterization of Hadamard powers preserving Loewner positivity, monotonicity, and convexity
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• Hadamard powers of some positive matrices
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• scientific article; zbMATH DE number 6125590 (Why is no real title available?)
• Matrix Analysis and Entrywise Positivity Preservers
• On fractional Hadamard powers of positive definite matrices
• Positive definite functions on spheres

Cited in

(1)

• Universality of kernel random matrices and kernel regression in the quadratic regime

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