The empirical distribution of the eigenvalues of a Gram matrix with a given variance profile

DOI10.1016/J.ANIHPB.2005.10.001zbMATH Open1109.15021arXivmath/0411333OpenAlexW2127723538MaRDI QIDQ858482FDOQ858482

Philippe Loubaton, Jamal Najim, W. Hachem

Publication date: 9 January 2007

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: Consider a $Nimesn$ random matrix $Y_n=(Y_{ij}^n)$ where the entries are given by $Y_{ij}^n=fracsigma(i/N,j/n)sqrtn{X}_{ij}^n$, the $X_{ij}^n$ being centered i.i.d. and $sigma:[0,1{]}^{2}o(0,infty)$ being a continuous function called a variance profile. Consider now a deterministic $Nimesn$ matrix $Lambd{a}_n=(Lambd{a}_{ij}^n)$ whose non diagonal elements are zero. Denote by $Sigm{a}_n$ the non-centered matrix $Y_n+Lambd{a}_n$. Then under the assumption that $li{m}_{noinfty}fracNn=c>0$ and ${\displaystyle }$ frac{1}{N} sum_{i=1}^{N} delta_{(frac{i}{N}, (Lambda_{ii}^n)^2)} xrightarrow[n o infty]{} H(dx,dlambda), ${\displaystyle }$ where $H$ is a probability measure, it is proven that the empirical distribution of the eigenvalues of $Sigm{a}_{n}Sigm{a}_n^T$ converges almost surely in distribution to a non random probability measure. This measure is characterized in terms of its Stieltjes transform, which is obtained with the help of an auxiliary system of equations. This kind of results is of interest in the field of wireless communication.

Full work available at URL: https://arxiv.org/abs/math/0411333

Recommendations

• scientific article; zbMATH DE number 5020283
• Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
• On the empirical distribution of eigenvalues of a class of large dimensional random matrices
• On the empirical distribution of eigenvalues of large dimensional information-plus-noise-type matrices
• The mutual affinity of random measures

zbMATH Keywords

Stieltjes transformconvergencerandom matrix

Mathematics Subject Classification ID

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

Cited In (18)

• Title not available (Why is that?)
• Limiting spectral distribution of a new random matrix model with dependence across rows and columns
• Controlling the least eigenvalue of a random Gram matrix
• Rectangular random matrices, related convolution
• Wigner and Wishart ensembles for sparse Vinberg models
• On singular values of data matrices with general independent columns
• Title not available (Why is that?)
• Stochastic low-dimensional modelling of a random laminar wake past a circular cylinder
• Random matrix theory in statistics: a review
• The mutual affinity of random measures
• High-dimensional linear models: a random matrix perspective
• Beyond islands: a free probabilistic approach
• On bilinear forms based on the resolvent of large random matrices
• Singular value distribution of dense random matrices with block Markovian dependence
• Spectral convergence for a general class of random matrices
• A CLT for information-theoretic statistics of Gram random matrices with a given variance profile
• Deterministic equivalents for certain functionals of large random matrices
• Analysis of the limiting spectral measure of large random matrices of the separable covariance type

This page was built for publication: The empirical distribution of the eigenvalues of a Gram matrix with a given variance profile

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q858482)