Let X_n=(x_{ij}) be an n by p data matrix, where the n rows form a random sample of size n from a certain p-dimensional population distribution.
Let R_n=(ρ_{ij}) be the p\times p sample correlation matrix of X_n; that is, the entry ρ_{ij} is the usual Pearson's correlation coefficient between the ith column of X_n and jth column of X_n. For contemporary data both n and p are large. When the population is a multivariate normal we study the test that H_0: the p variates of the population are uncorrelated.
A test statistic is chosen as L_n=max_{i\ne j}|ρ_{ij}|. The asymptotic distribution of L_n is derived by using the Chen-Stein Poisson approximation method. Similar results for the non-Gaussian case are also derived.
The probability of the small deviations of the matrix $AA^T$ determinant is estimated, where $A$ is an $n\times\infty$ random matrix with centered entries having joint Gaussian distribution. The inequality obtained is sharp in a sence.
Consider an $n \times n$ non-Hermitian random matrix $M_n$ whose entries are independent real random variables. Under suitable conditions on the entries, we study the fluctuations of the entries of $f(M_n)$ as $n$ tends to infinity, where $f$ is analytic on an appropriate domain. This extends the results for symmetric random matrices to the non-Hermitian case.
In this article, we study the fluctuation of linear eigenvalue statistics of symmetric circulant matrices $(SC_n)$ with independent entries which satisfy some moment conditions. We show that $\frac{1}{\sqrt{n}} \Tr ϕ(SC_n)$ obey the central limit theorem (CLT) type result, where $ϕ$ is a nice test function.
We prove optimal local law, bulk universality and non-trivial decay for the off-diagonal elements of the resolvent for a class of translation invariant Gaussian random matrix ensembles with correlated entries.
We give a non-asymptotic bound on the spectral norm of a $d\times d$ matrix $X$ with centered jointly Gaussian entries in terms of the covariance matrix of the entries. In some cases, this estimate is sharp and removes the $\sqrt{\log d}$ factor in the noncommutative Khintchine inequality.
In this article, we consider random Wigner matrices, that is symmetric matrices such that the subdiagonal entries of Xn are independent, centered, and with variance one except on the diagonal where the entries have variance two. We prove that, under some suitable hypotheses on the laws of the entries, the law of the largest eigenvalue satisfies a large deviation principle with the same rate function as in the Gaussian case. The crucial assumption is that the Laplace transform of the entries must be bounded above by the Laplace transform of a centered Gaussian variable with same variance. This …
We prove the convergence of the empirical spectral measure of Wishart matrices with size-dependent entries and characterize the limiting law by its moments. We apply our result to the cases where the entries are Bernoulli variables with parameter c=n or truncated heavy-tailed random variables. In both cases, when c goes to infinity or when the truncation is small, the limiting spectrum is a perturbation of the Marchenko-Pastur distribution and we compute its leading term.
We consider ensembles of real symmetric band matrices with entries drawn from an infinite sequence of exchangeable random variables, as far as the symmetry of the matrices permits. In general the entries of the upper triangular parts of these matrices are correlated and no smallness or sparseness of these correlations is assumed. It is shown that the eigenvalue distribution measures still converge to a semicircle but with random scaling. We also investigate the asymptotic behavior of the corresponding $\ell_2$-operator norms. The key to our analysis is a generalisation of a classic result by d…
We prove that an n by n random matrix G with independent entries is completely delocalized. Suppose the entries of G have zero means, variances uniformly bounded below, and a uniform tail decay of exponential type. Then with high probability all unit eigenvectors of G have all coordinates of magnitude O(n^{-1/2}), modulo logarithmic corrections. This comes a consequence of a new, geometric, approach to delocalization for random matrices.
We consider a class of real random matrices with dependent entries and show that the limiting empirical spectral distribution is given by the Marchenko-Pastur law. Additionally, we establish a rate of convergence of the expected empirical spectral distribution.
We consider products of independent square non-Hermitian random matrices. More precisely, let X(1),...,X(n) be random matrices with independent entries (real or complex with independent real and imaginary parts) with zero mean and variance 1/N. Soshnikov and O'Rourke showed that the empirical spectral distribution of the product X(1)X(2)..X(n) converges to the n-th power of the circular law. We prove that if the entries of the matrices X(1),...,X(n) satisfy uniform subexponential decay condition, then in the bulk the convergence of the ESD holds up to the optimal scale.
This paper deals with symmetric random matrices whose upper diagonal entries are obtained from a linear random field with heavy tailed noise. It is shown that the maximum eigenvalue and the spectral radius of such a random matrix with dependent entries converge to the Frechét distribution after appropriate scaling. This extends a seminal result of Soshnikov(2004) when the tail index is strictly less than one.
We investigate concentration properties of spectral measures of Hermitian random matrices with partially dependent entries. More precisely, let $X_n$ be a Hermitian random matrix of size $n\times n$ that can be split into independent blocks of the size at most $d_n=o(n^2)$. We prove that under some mild conditions on the distribution of the entries of $X_n$, the empirical spectral measure of $X_n$ concentrates around its mean. The main theorem is a strengthening of a recent result by Kemp and Zimmerman, where the size of blocks grows as $o(\log n)$. As an application, we are able to upgrade th…
We consider n by n real matrices whose entries are non-degenerate random variables that are independent but non necessarily identically distributed, and show that the probability that such a matrix is singular is O(1/sqrt{n}). The purpose of this note is to provide a short and elementary proof of this fact using a Bernoulli decomposition of arbitrary non degenerate random variables.
For symmetric random matrices with correlated entries, which are functions of independent random variables, we show that the asymptotic behavior of the empirical eigenvalue distribution can be obtained by analyzing a Gaussian matrix with the same covariance structure. This class contains both cases of short and long range dependent random fields. The technique is based on a blend of blocking procedure and Lindeberg's method. This method leads to a variety of interesting asymptotic results for matrices with dependent entries, including applications to linear processes as well as nonlinear Volte…
In this paper, we derive limit laws for the empirical spectral distributions of random band and block matrices with correlated entries. In the first part of the paper, we study band matrices with approximately uncorrelated entries. We strengthen previously obtained results while requiring weaker assumptions, which is made possible by a refined application of the method of moments. In the second part of the paper, we introduce a new two-layered correlation structure we call SSB-HKW correlated, which enables the study of structured random matrices with correlated entries. Our results include sem…
We consider products of independent square random non-Hermitian matrices. More precisely, let $n\geq 2$ and let $X_1,\ldots,X_n$ be independent $N\times N$ random matrices with independent centered entries with variance $N^{-1}$. It was shown by Götze and Tikhomirov and by Soshnikov and O'Rourke that the limit of the empirical spectral distribution of the product $X_1\cdots X_n$ is supported in the unit disk. We prove that if the entries of the matrices $X_1,\ldots,X_n$ satisfy uniform subexponential decay condition, then the spectral radius of $X_1\cdots X_n$ converges to 1 almost surely as $…
We study the empirical spectral distribution (ESD) of symmetric random matrices with ergodic entries on the diagonals. We observe that for entries with correlations that decay to 0, when the distance of the diagonal entries becomes large the limiting ESD is the well known semicircle law. If it does not decay to 0 (and have the same sign) the semicircle law cannot be the limit of the ESD. This is good agreement with results on exchangeable processes analysed in Friesen and Löwe (2013a) and Hochstättler et al. (2016).
In this article, we will consider Wishart Matrices with correlated entries, but with a strictly log-concave law. It has been shown by A.Pajor and L.Pastur that the empirical measures of such matrices converges. We will show, under some symmetry and convergence hypotheses, that in this case the central limit theorem for linear statistics holds around their limit, and deduce the convergence of the support to the support of the limiting measure. We also provide the convergence of the Expectation and the Covariance.
In this paper we study ensembles of random symmetric matrices $\X_n = {X_{ij}}_{i,j = 1}^n$ with dependent entries such that $\E X_{ij} = 0$, $\E X_{ij}^2 = σ_{ij}^2$, where $σ_{ij}$ may be different numbers. Assuming that the average of the normalized sums of variances in each row converges to one and Lindeberg condition holds we prove that the empirical spectral distribution of eigenvalues converges to Wigner's semicircle law.
An exchangeable random matrix is a random matrix with distribution invariant under any permutation of the entries. For such random matrices, we show, as the dimension tends to infinity, that the empirical spectral distribution tends to the uniform law on the unit disc. This is an instance of the universality phenomenon known as the circular law, for a model of random matrices with dependent entries, rows, and columns. It is also a non-Hermitian counterpart of a result of Chatterjee on the semi-circular law for random Hermitian matrices with exchangeable entries. The proof relies in particular …
Let $T$ be an $n\times n$ random matrix, such that each diagonal entry $T_{i,i}$ is a continuous random variable, independent from all the other entries of $T$. Then for every $n\times n$ matrix $A$ and every $t\ge0$ $$ \p\Big[|\det(A+T)|^{1/n}\le t\Big]\le2bnt, $$ where $b>0$ is a uniform upper bound on the densities of $T_{i,i}$.
We study the limiting spectral distribution of sample covariance matrices $XX^T$, where $X$ are $p\times n$ random matrices with correlated entries, for the cases $p/n\to y\in [0,\infty)$. If $y>0$, we obtain the Marčenko-Pastur distribution and in the case $y=0$ the semicircle distribution (after appropriate rescaling). The entries we consider are Curie-Weiss spins, which are correlated random signs, where the degree of the correlation is governed by an inverse temperature $β>0$. The model exhibits a phase transition at $β=1$. The correlation between any two entries decays at a rate of $O(np)…
We analyze the empirical spectral distribution of random periodic band matrices with correlated entries. The correlation structure we study was first introduced in 2015 by Hochstättler, Kirsch and Warzel, who named their setup "almost uncorrelated" and showed convergence to the semicircle distribution in probability. We strengthen their results which turn out to be also valid almost surely. Moreover, we extend them to band matrices. Sufficient conditions for convergence to the semicircle distribution both in probability and almost surely are provided. In contrast to convergence in probability,…
We study the statistics of the largest eigenvalues of real symmetric and sample covariance matrices when the entries are heavy tailed. Extending the result obtained by Soshnikov in \cite{Sos1}, we prove that, in the absence of the fourth moment, the top eigenvalues behave, in the limit, as the largest entries of the matrix.
We study point process convergence for sequences of iid random walks. The objective is to derive asymptotic theory for the extremes of these random walks. We show convergence of the maximum random walk to the Gumbel distribution under the existence of a $(2+δ)$th moment. We make heavily use of precise large deviation results for sums of iid random variables. As a consequence, we derive the joint convergence of the off-diagonal entries in sample covariance and correlation matrices of a high-dimensional sample whose dimension increases with the sample size. This generalizes known results on the …
We consider $n\times n$ real symmetric and Hermitian Wigner random matrices $n^{-1/2}W$ with independent (modulo symmetry condition) entries and the (null) sample covariance matrices $n^{-1}X^*X$ with independent entries of $m\times n$ matrix $X$. Assuming first that the 4th cumulant (excess) $κ_4$ of entries of $W$ and $X$ is zero and that their 4th moments satisfy a Lindeberg type condition, we prove that linear statistics of eigenvalues of the above matrices satisfy the central limit theorem (CLT) as $n\to\infty$, $m\to\infty$, $m/n\to c\in[0,\infty)$ with the same variance as for Gaussian …
For a class of symmetric random matrices whose entries are martingale differences adapted to an increasing filtration, we prove that under a Lindeberg-like condition, the empirical spectral distribution behaves asymptotically similarly to a corresponding matrix with independent centered Gaussian entries having the same variances. Under a slightly reinforced condition, the approximation holds in the almost sure sense. We also point out several sufficient regularity conditions imposed to the variance structure for convergence to the semicircle law or the Marchenko-Pastur law and other convergenc…
Patterned random matrices such as the reverse circulant, the symmetric circulant, the Toeplitz and the Hankel matrices and their almost sure limiting spectral distribution (LSD), have attracted much attention. Under the assumption that the entries are taken from an i.i.d. sequence with finite variance, the LSD are tied together by a common thread -- the $2k$th moment of the limit equals a weighted sum over different types of pair-partitions of the set $\{1, 2, \ldots, 2k\}$ and are universal. Some results are also known for the sparse case. In this paper we generalise these results by relaxing…
Let $(g_{n})_{n\geq 1}$ be a sequence of independent and identically distributed positive random $d\times d$ matrices and consider the matrix product $G_n: = g_n \ldots g_1$. Under suitable conditions, we establish the Berry-Esseen bounds on the rate of convergence in the central limit theorem and moderate deviation expansions of Cramér type, for the matrix norm $\| G_n \|$ of $G_n$, for its $(i,j)$-th entry $G_n^{i,j}$, and the and for its spectral radius $ρ(G_n)$.
Let $δ>1$ and $β>0$ be some real numbers. We prove that there are positive $u,v,N_0$ depending only on $β$ and $δ$ with the following property: for any $N,n$ such that $N\ge \max(N_0,δn)$, any $N\times n$ random matrix $A=(a_{ij})$ with i.i.d. entries satisfying $\sup\limits_{λ\in {\mathbb R}}{\mathbb P}\bigl\{|a_{11}-λ|\le 1\bigr\}\le 1-β$ and any non-random $N\times n$ matrix $B$, the smallest singular value $s_n$ of $A+B$ satisfies ${\mathbb P}\bigl\{s_n(A+B)\le u\sqrt{N}\bigr\}\le \exp(-vN)$. The result holds without any moment assumptions on distribution of the entries of $A$.
Let $\mathbf X$ be a random matrix whose pairs of entries $X_{jk}$ and $X_{kj}$ are correlated and vectors $ (X_{jk},X_{kj})$, for $1\le j<k\le n$, are mutually independent. Assume that the diagonal entries are independent from off-diagonal entries as well. We assume that $\mathbb{E} X_{jk}=0$, $\mathbb{E} X_{jk}^2=1$, for any $j,k=1,\ldots,n$ and $\mathbb{E} X_{jk}X_{kj}=ρ$ for $1\le j<k\le n$. Let $\mathbf M_n$ be a non-random $n\times n$ matrix with $\|\mathbf M_n\|\le Kn^Q$, for some positive constants $K>0$ and $Q\ge 0$. Let $s_n(\mathbf X+\mathbf M_n)$ denote the least singular value of …
We study the fluctuations, as $d,n\to \infty$, of the Wishart matrix $\mathcal{W}_{n,d}= \frac{1}{d} \mathcal{X}_{n,d} \mathcal{X}_{n,d}^{T} $ associated to a $n\times d$ random matrix $\mathcal{X}_{n,d}$ with non-Gaussian entries. We analyze the limiting behavior in distribution of $\mathcal{W}_{n,d}$ in two situations: when the entries of $\mathcal{X}_{n,d}$ are independent elements of a Wiener chaos of arbitrary order and when the entries are partially correlated and belong to the second Wiener chaos. In the first case, we show that the (suitably normalized) Wishart matrix converges in dist…
The scaled standard Wigner matrix (symmetric with mean zero, variance one i.i.d. entries), and its limiting eigenvalue distribution, namely the semi-circular distribution, has attracted much attention. The $2k$th moment of the limit equals the number of non-crossing pair-partitions of the set $\{1, 2, \ldots, 2k\}$. There are several extensions of this result in the literature. In this paper we consider a unifying extension which also yields additional results. Suppose $W_n$ is an $n\times n$ symmetric matrix where the entries are independently distributed. We show that under suitable assumpti…
Let $A=(a_{ij})$ be an $n\times n$ random matrix with i.i.d. entries such that $\mathbb{E} a_{11} = 0$ and $\mathbb{E} {a_{11}}^2 = 1$. We prove that for any $δ>0$ there is $L>0$ depending only on $δ$, and a subset $\mathcal{N}$ of $B_2^n$ of cardinality at most $\exp(δn)$ such that with probability very close to one we have $$A(B_2^n)\subset \bigcup_{y\in A(\mathcal{N})}\bigl(y+L\sqrt{n}B_2^n\bigr).$$ As an application, we show that for some $L'>0$ and $u\in[0,1)$ depending only on the distribution law of $a_{11}$, the smallest singular value $s_n$ of the matrix $A$ satisfies $\mathbb{P}\{s_n…
Let $S=XX^T$ be the (unscaled) sample covariance matrix where $X$ is a real $p \times n$ matrix with independent entries. It is well known that if the entries of $X$ are independent and identically distributed (i.i.d.) with enough moments and $p/n \to y\neq 0$, then the limiting spectral distribution (LSD) of $\frac{1}{n}S$ converges to a Mar$\check{\text{c}}$enko-Pastur law. Several extensions of this result are also known. We prove a general result on the existence of the LSD of $S$ in probability or almost surely, and in particular, many of the above results follow as special cases. At the …
We study the distribution of the outliers in the spectrum of finite rank deformations of Wigner random matrice under the assumption that the off-diagonal matrix entries have uniformly bounded fifth moment and the diagonal entries have uniformly bounded third moment. Using our recent results on the fluctuation of resolvent entries [31],[28], and ideas from [9], we extend results by M.Capitaine, C.Donati-Martin, and D.Féral [12], [13].
For any family of $N\times N$ random matrices $(\mathbf{A}_k)_{k\in K}$ which is invariant, in law, under unitary conjugation, we give general sufficient conditions for central limit theorems for random variables of the type $\operatorname{Tr}(\mathbf{A}_k \mathbf{M})$, where the matrix $\mathbf{M}$ is deterministic (such random variables include for example the normalized matrix entries of the $\mathbf{A}_k$'s). A consequence is the asymptotic independence of the projection of the matrices $\mathbf{A}_k$ onto the subspace of null trace matrices from their projections onto the orthogonal of th…
We extend the results about the fluctuations of the matrix entries of regular functions of Wigner matrices to the case of sample covariance random matrices.
We prove the universal asymptotically almost sure non-singularity of general Ginibre and Wigner ensembles of random matrices when the distribution of the entries are independent but not necessarily identically distributed and may depend on the size of the matrix. These models include adjacency matrices of random graphs and also sparse, generalized, universal and banded random matrices. We find universal rates of convergence and precise estimates for the probability of singularity which depend only on the size of the biggest jump of the distribution functions governing the entries of the matrix…
We obtain lower tail estimates for the smallest singular value of random matrices with independent but non-identically distributed entries. Specifically, we consider $n\times n$ matrices with complex entries of the form \[ M = A\circ X + B = (a_{ij}ξ_{ij} + b_{ij}) \] where $X=(ξ_{ij})$ has iid centered entries of unit variance and $A$ and $B$ are fixed matrices. In our main result we obtain polynomial bounds on the smallest singular value of $M$ for the case that $A$ has bounded (possibly zero) entries, and $B= Z\sqrt{n}$ where $Z$ is a diagonal matrix with entries bounded away from zero. As …
We establish a large deviation principle for the empirical spectral measure of a sample covariance matrix with sub-Gaussian entries, which extends Bordenave and Caputo's result for Wigner matrices having the same type of entries [7]. To this aim, we need to establish an asymptotic freeness result for rectangular free convolution, more precisely, we give a bound in the subordination formula for information-plus-noise matrices.
This paper investigates the strong limiting behavior of the eigenvalues of the class of matrices $\frac1N(D_n\circ X_n)(D_n\circ X_n)^*$, studied in Girko 2001. Here, $X_n=(x_{ij})$ is an $n\times N$ random matrix consisting of independent complex standardized random variables, $D_n=(d_{ij})$, $n\times N$, has nonnegative entries, and $\circ$ denotes Hadamard (componentwise) product. Results are obtained under assumptions on the entries of $X_n$ and $D_n$ which are different from those in Girko (2001), which include a Lindeberg condition on the entries of $D_n\circ X_n$, as well as a bound on …
In this article we show the existence of limiting spectral distribution of a symmetric random matrix whose entries come from a stationary Gaussian process with covariances satisfying a summability condition. We provide an explicit description of the moments of the limiting measure. We also show that in some special cases the Gaussian assumption can be relaxed. The description of the limiting measure can also be made via its Stieltjes transform which is characterized as the solution of a functional equation. In two special cases, we get a description of the limiting measure - one as a free prod…
We study matrices whose entries are free or exchangeable noncommutative elements in some tracial $W^*$-probability space. More precisely, we consider operator-valued Wigner and Wishart matrices and prove quantitative convergence to operator-valued semicircular elements over some subalgebra in terms of Cauchy transforms. As direct applications, we obtain explicit rates of convergence for a large class of random block matrices with independent or correlated blocks. Our approach relies on a noncommutative extension of the Lindeberg method and operator-valued Gaussian interpolation techniques.
In this note, we extend the results about the fluctuations of the matrix entries of regular functions of Wigner random matrices obtained in arXiv:1103.3731 [math.PR] to Wigner matrices with non-i.i.d. entries provided certain Lindeberg type conditions for the fourth moments of the off-diagonal entries and the second moments of the diagonal entries are satisfied. In addition, we relax our conditions on the test functions and require that for some $s>3 \ \int (1+|k|)^{2s}\*|\hat{f}(k)|^2 \* dk <\infty.$
We obtain the limiting spectral distribution for large sample covariance matrices associated with random vectors having graph-dependent entries under the assumption that the interdependence among the entries grows with the sample size n. Our results are tight. In particular, they give necessary and sufficient conditions for the Marchenko-Pastur theorem for sample covariance matrices with m-dependent orthonormal elements when m = o(n).
In this text, we consider an N by N random matrix X such that all but o(N) rows of X have W non identically zero entries, the other rows having lass than $W$ entries (such as, for example, standard or cyclic band matrices). We always suppose that 1 << W << N. We first prove that if the entries are independent, centered, have variance one, satisfy a certain tail upper-bound condition and W >> (\log N)^{6(1+α)}, where αis a positive parameter depending on the distribution of the entries, then the largest eigenvalue of X/\sqrt{W} converges to the upper bound of its limit spectral distribution, th…
We derive concentration inequalities for functions of the empirical measure of large random matrices with infinitely divisible entries and, in particular, stable ones. We also give concentration results for some other functionals of these random matrices, such as the largest eigenvalue or the largest singular value.
We show central limit theorems (CLT) for the Stieltjes transforms or more general analytic functions of symmetric matrices with independent heavy tailed entries, including entries in the domain of attraction of $α$-stable laws and entries with moments exploding with the dimension, as in the adjacency matrices of Erdös-Rényi graphs. For the second model, we also prove a central limit theorem of the moments of its empirical eigenvalues distribution. The limit laws are Gaussian, but unlike to the case of standard Wigner matrices, the normalization is the one of the classical CLT for independent r…
