Tracy-Widom distribution for the edge eigenvalues of elliptical model

arXiv2304.07893MaRDI QIDQ6433282FDOQ6433282

Publication date: 16 April 2023

Abstract: In this paper, we study the largest eigenvalues of sample covariance matrices with elliptically distributed data. We consider the sample covariance matrix

Q = Y Y^{*},

where the data matrix

Y i n m a t h b b R^{p i m e s n}

contains i.i.d.

p

-dimensional observations

m a t h b f y_{i} = x i_{i} T m a t h b f u_{i},; i = 1, d o t s, n .

Here

m a t h b f u_{i}

is distributed on the unit sphere,

x i_{i} s i m x i

is independent of

m a t h b f u_{i}

and

T^{*} T = S i g m a

is some deterministic matrix. Under some mild regularity assumptions of

S i g m a,

assuming

x i^{2}

has bounded support and certain proper behavior near its edge so that the limiting spectral distribution (LSD) of

Q

has a square decay behavior near the spectral edge, we prove that the Tracy-Widom law holds for the largest eigenvalues of

Q

when

p

and

n

are comparably large.

This page was built for publication: Tracy-Widom distribution for the edge eigenvalues of elliptical model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6433282)