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

DOI10.1016/J.ANIHPB.2005.10.001MaRDI QIDQ858482zbMATH OpenOpenAlexFDO

Authors W. Hachem, Philippe Loubaton, Jamal Najim

Publication date 9 January 2007

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

Full work available at URL https://arxiv.org/abs/math/0411333, http://www.numdam.org/item?id=AIHPB_2006__42_6_649_0, http://www.numdam.org/item?id=AIHPB_2006__42_6_649_0/, https://eudml.org/doc/77913

zbMATH Keywords

Stieltjes transformconvergencerandom matrix

Mathematics Subject Classification ID

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

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.

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