A rate of convergence result for the largest eigenvalue of complex white Wishart matrices

DOI10.1214/009117906000000502zbMATH Open1108.62014arXivmath/0409610OpenAlexW1964492749MaRDI QIDQ874730FDOQ874730

Noureddine El Karoui

Publication date: 10 April 2007

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

Abstract: It has been recently shown that if $X$ is an $nimesN$ matrix whose entries are i.i.d. standard complex Gaussian and $l_1$ is the largest eigenvalue of $X^{*}X$, there exist sequences $m_{n,N}$ and $s_{n,N}$ such that $(l_1-m_{n,N})/s_{n,N}$ converges in distribution to $W_2$, the Tracy--Widom law appearing in the study of the Gaussian unitary ensemble. This probability law has a density which is known and computable. The cumulative distribution function of $W_2$ is denoted $F_2$. In this paper we show that, under the assumption that $n/Nogammain(0,infty)$, we can find a function $M$, continuous and nonincreasing, and sequences $ilde{mu}_{n,N}$ and $ilde{sigma}_{n,N}$ such that, for all real $s_0$, there exists an integer $N(s_0,gamma)$ for which, if $(nwedgeN)geqN(s_0,gamma)$, we have, with $l_{n,N}=(l_1-ilde{mu}_{n,N})/ilde{sigma}_{n,N}$, [forall sgeq s_0qquad (nwedge N)^{2/3}|P(l_{n,N}leq s)-F_2(s)|leq M(s_0)exp(-s).] The surprisingly good 2/3 rate and qualitative properties of the bounding function help explain the fact that the limiting distribution $W_2$ is a good approximation to the empirical distribution of $l_{n,N}$ in simulations, an important fact from the point of view of (e.g., statistical) applications.

Full work available at URL: https://arxiv.org/abs/math/0409610

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zbMATH Keywords

random matrix theoryTracy-Widom distributionFredholm determinantWishart matricestrace class operatorsLiouville-Green approximation

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Central limit and other weak theorems (60F05)

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Cited In (23)

• Free energy of bipartite spherical Sherrington-Kirkpatrick model
• Accuracy of the Tracy-Widom limits for the extreme eigenvalues in white Wishart matrices
• A note on universality of the distribution of the largest eigenvalues in certain sample covariance matrices
• Random matrices with external source and KP τ functions
• On the distribution of the ratio of the largest eigenvalue to the trace of a Wishart matrix
• Multivariate analysis and Jacobi ensembles: largest eigenvalue, Tracy-Widom limits and rates of convergence
• Roy's largest root under rank-one perturbations: the complex valued case and applications
• Quantitative universality for the largest eigenvalue of sample covariance matrices
• Convergence rate to the Tracy-Widom laws for the largest eigenvalue of Wigner matrices
• The Tracy-Widom limit for the largest eigenvalues of singular complex Wishart matrices
• Tracy-Widom limit for Kendall's tau
• Finite time corrections in KPZ growth models
• Tracy-Widom limit for the largest eigenvalue of a large class of complex sample covariance matrices
• Convergence rate to the Tracy-Widom laws for the largest eigenvalue of sample covariance matrices
• Finite \(N\) corrections to the limiting distribution of the smallest eigenvalue of Wishart complex matrices
• Fast approach to the tracy-widom law at the edge of GOE and GUE
• Estimating tail probabilities of the ratio of the largest eigenvalue to the trace of a Wishart matrix
• Functional form for the leading correction to the distribution of the largest eigenvalue in the GUE and LUE
• Asymptotic expansions relating to the distribution of the length of longest increasing subsequences
• Optimal soft edge scaling variables for the Gaussian and Laguerre even \(\beta\) ensembles
• Scaled limit and rate of convergence for the largest eigenvalue from the generalized Cauchy random matrix ensemble
• Title not available (Why is that?)
• Limiting distribution of maximal crossing and nesting of Poissonized random matchings

Uses Software

• Digital Library of Mathematical Functions

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