Edge universality of correlation matrices

DOI10.1214/12-AOS1022zbMATH Open1260.15051arXiv1112.2381MaRDI QIDQ693745FDOQ693745

Authors: Natesh S. Pillai, Jun Yin 

Publication date: 10 December 2012

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: Let $widetilde{X}_{MimesN}$ be a rectangular data matrix with independent real-valued entries $[widetilde{x}_{ij}]$ satisfying $mathbbEwidetilde{x}_{ij}=0$ and $mathbbEwidetilde{x}_{ij}^2=frac1M$, $N,Moinfty$. These entries have a subexponential decay at the tails. We will be working in the regime $N/M=d_N,li{m}_{Noinfty}{d}_{N}eq0,1,infty$. In this paper we prove the edge universality of correlation matrices $X^{dagger}X$, where the rectangular matrix $X$ (called the standardized matrix) is obtained by normalizing each column of the data matrix $widetildeX$ by its Euclidean norm. Our main result states that asymptotically the $k$-point ($kgeq1$) correlation functions of the extreme eigenvalues (at both edges of the spectrum) of the correlation matrix $X^{dagger}X$ converge to those of the Gaussian correlation matrix, that is, Tracy-Widom law, and, thus, in particular, the largest and the smallest eigenvalues of $X^{dagger}X$ after appropriate centering and rescaling converge to the Tracy-Widom distribution. The asymptotic distribution of extreme eigenvalues of the Gaussian correlation matrix has been worked out only recently. As a corollary of the main result in this paper, we also obtain that the extreme eigenvalues of Gaussian correlation matrices are asymptotically distributed according to the Tracy-Widom law. The proof is based on the comparison of Green functions, but the key obstacle to be surmounted is the strong dependence of the entries of the correlation matrix. We achieve this via a novel argument which involves comparing the moments of product of the entries of the standardized data matrix to those of the raw data matrix. Our proof strategy may be extended for proving the edge universality of other random matrix ensembles with dependent entries and hence is of independent interest.

Full work available at URL: https://arxiv.org/abs/1112.2381

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zbMATH Keywords

covariance matrixcorrelation matrixuniversalityTracy-Widom lawMarcenko-Pastur law

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Analysis of variance and covariance (ANOVA) (62J10) Random matrices (algebraic aspects) (15B52) Disordered systems (random Ising models, random Schrödinger operators, etc.) in equilibrium statistical mechanics (82B44)

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Cited In (26)

• Central limit theorem for linear spectral statistics of large dimensional Kendall's rank correlation matrices and its applications
• Properties of eigenvalues and eigenvectors of large-dimensional sample correlation matrices
• Asymptotic independence of the extreme eigenvalues of Gaussian unitary ensemble
• A necessary and sufficient condition for edge universality of Wigner matrices
• A necessary and sufficient condition for edge universality at the largest singular values of covariance matrices
• Quantitative universality for the largest eigenvalue of sample covariance matrices
• Detection of hubs in complex networks by the Laplacian matrix
• Tracy-Widom limit for Kendall's tau
• Asymptotics of eigenstructure of sample correlation matrices for high-dimensional spiked models
• Random matrix theory in statistics: a review
• Spectral statistics of large dimensional Spearman's rank correlation matrix and its application
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• Universality for the largest eigenvalue of sample covariance matrices with general population
• Central limit theorem of linear spectral statistics of high-dimensional sample correlation matrices
• Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations
• Separation of the largest eigenvalues in eigenanalysis of genotype data from discrete subpopulations
• Universality of covariance matrices
• Correlated random matrices: band rigidity and edge universality
• Edge universality of correlated Gaussians
• Considering Horn's parallel analysis from a random matrix theory point of view

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