article
Universality for the largest eigenvalue of sample covariance matrices with general population
published
yes
Zhigang
Bao
author 442E6A6C-F248-11E8-B48F-1D18A9856A870000-0003-3036-1475
Guangming
Pan
author
Wang
Zhou
author
LaEr
department
This paper is aimed at deriving the universality of the largest eigenvalue of a class of high-dimensional real or complex sample covariance matrices of the form W N =Σ 1/2XX∗Σ 1/2 . Here, X = (xij )M,N is an M× N random matrix with independent entries xij , 1 ≤ i M,≤ 1 ≤ j ≤ N such that Exij = 0, E|xij |2 = 1/N . On dimensionality, we assume that M = M(N) and N/M → d ε (0, ∞) as N ∞→. For a class of general deterministic positive-definite M × M matrices Σ , under some additional assumptions on the distribution of xij 's, we show that the limiting behavior of the largest eigenvalue of W N is universal, via pursuing a Green function comparison strategy raised in [Probab. Theory Related Fields 154 (2012) 341-407, Adv. Math. 229 (2012) 1435-1515] by Erd″os, Yau and Yin for Wigner matrices and extended by Pillai and Yin [Ann. Appl. Probab. 24 (2014) 935-1001] to sample covariance matrices in the null case (&Epsi = I ). Consequently, in the standard complex case (Ex2 ij = 0), combing this universality property and the results known for Gaussian matrices obtained by El Karoui in [Ann. Probab. 35 (2007) 663-714] (nonsingular case) and Onatski in [Ann. Appl. Probab. 18 (2008) 470-490] (singular case), we show that after an appropriate normalization the largest eigenvalue of W N converges weakly to the type 2 Tracy-Widom distribution TW2 . Moreover, in the real case, we show that whenΣ is spiked with a fixed number of subcritical spikes, the type 1 Tracy-Widom limit TW1 holds for the normalized largest eigenvalue of W N , which extends a result of Féral and Péché in [J. Math. Phys. 50 (2009) 073302] to the scenario of nondiagonal Σ and more generally distributed X . In summary, we establish the Tracy-Widom type universality for the largest eigenvalue of generally distributed sample covariance matrices under quite light assumptions on &Sigma . Applications of these limiting results to statistical signal detection and structure recognition of separable covariance matrices are also discussed.
Institute of Mathematical Statistics2015
eng
Annals of Statistics10.1214/14-AOS1281
431382 - 421
Bao Z, Pan G, Zhou W. Universality for the largest eigenvalue of sample covariance matrices with general population. <i>Annals of Statistics</i>. 2015;43(1):382-421. doi:<a href="https://doi.org/10.1214/14-AOS1281">10.1214/14-AOS1281</a>
Bao, Zhigang, et al. “Universality for the Largest Eigenvalue of Sample Covariance Matrices with General Population.” <i>Annals of Statistics</i>, vol. 43, no. 1, Institute of Mathematical Statistics, 2015, pp. 382–421, doi:<a href="https://doi.org/10.1214/14-AOS1281">10.1214/14-AOS1281</a>.
Z. Bao, G. Pan, and W. Zhou, “Universality for the largest eigenvalue of sample covariance matrices with general population,” <i>Annals of Statistics</i>, vol. 43, no. 1. Institute of Mathematical Statistics, pp. 382–421, 2015.
Bao, Z., Pan, G., & Zhou, W. (2015). Universality for the largest eigenvalue of sample covariance matrices with general population. <i>Annals of Statistics</i>. Institute of Mathematical Statistics. <a href="https://doi.org/10.1214/14-AOS1281">https://doi.org/10.1214/14-AOS1281</a>
Z. Bao, G. Pan, W. Zhou, Annals of Statistics 43 (2015) 382–421.
Bao, Zhigang, Guangming Pan, and Wang Zhou. “Universality for the Largest Eigenvalue of Sample Covariance Matrices with General Population.” <i>Annals of Statistics</i>. Institute of Mathematical Statistics, 2015. <a href="https://doi.org/10.1214/14-AOS1281">https://doi.org/10.1214/14-AOS1281</a>.
Bao Z, Pan G, Zhou W. 2015. Universality for the largest eigenvalue of sample covariance matrices with general population. Annals of Statistics. 43(1), 382–421.
15052018-12-11T11:52:25Z2021-01-12T06:51:14Z