Large complex correlated Wishart matrices: fluctuations and asymptotic independence at the edges

DOI10.1214/15-AOP1022zbMATH Open1346.15035arXiv1409.7548MaRDI QIDQ726805FDOQ726805

Jamal Najim, W. Hachem, Adrien Hardy

Publication date: 14 July 2016

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

Abstract: We study the asymptotic behavior of eigenvalues of large complex correlated Wishart matrices at the edges of the limiting spectrum. In this setting, the support of the limiting eigenvalue distribution may have several connected components. Under mild conditions for the population matrices, we show that for every generic positive edge of that support, there exists an extremal eigenvalue which converges almost surely toward that edge and fluctuates according to the Tracy-Widom law at the scale $N^{2/3}$. Moreover, given several generic positive edges, we establish that the associated extremal eigenvalue fluctuations are asymptotically independent. Finally, when the leftmost edge is the origin (hard edge), the fluctuations of the smallest eigenvalue are described by mean of the Bessel kernel at the scale $N^2$.

Full work available at URL: https://arxiv.org/abs/1409.7548

zbMATH Keywords

asymptotic independenceeigenvalueBessel kernelWishart matrixlarge random matricesTracy-Widom fluctuations

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Strong limit theorems (60F15)

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