Random covariance matrices: universality of local statistics of eigenvalues
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Abstract: We study the eigenvalues of the covariance matrix of a large rectangular matrix whose entries are i.i.d. random variables of mean zero, variance one, and having finite th moment for some sufficiently large constant . The main result of this paper is a Four Moment theorem for i.i.d. covariance matrices (analogous to the Four Moment theorem for Wigner matrices established by the authors in [Acta Math. (2011) Random matrices: Universality of local eigenvalue statistics] (see also [Comm. Math. Phys. 298 (2010) 549--572])). We can use this theorem together with existing results to establish universality of local statistics of eigenvalues under mild conditions. As a byproduct of our arguments, we also extend our previous results on random Hermitian matrices to the case in which the entries have finite th moment rather than exponential decay.
The asymptotic local eigenvalue statistics of covariance matrices of large random matrices are studied. The covariance matrices are given by the relation \(\frac{1}{n}M^{*}M\), where the rectangular matrix \(M=M_{n,p}=(\zeta_{ij})_{1 \leq i \leq p; 1 \leq j \leq n}\) has entries which are identically and independently distributed random variables with mean zero, variance one and have finite \(C_0\)th moment for some sufficiently large constant \(C_0\) independent of \(n, p\).NEWLINENEWLINEAs an analogue of the recent result of \textit{T. Tao} and \textit{V. Vu} [Acta Math.~206, No. 1, 127--204 (2011; Zbl 1217.15043)] for Wigner matrices a four moment theorem is established which asserts that the asymptotic behavior of local statistics of the eigenvalues of the covariance matrix are determined by the first four moments of the matrix entries. This theorem combined together with existing partial results for special ensembles is then used for establishing universality of local statistics of eigenvalues of covariance matrices. These results are also extended to the case where \(M\) is a random Hermitian matrix whose entries have finite \(C_0\)th moment without requiring the exponential decay of the atom distribution.
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