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• W2081946247 abstract "In this paper we prove the universality of covariance matrices of the form $H_{Ntimes N}={X}^{dagger}X$ where $X$ is an ${Mtimes N}$ rectangular matrix with independent real valued entries $x_{ij}$ satisfying $mathbb{E}x_{ij}=0$ and $mathbb{E}x^{2}_{ij}={frac{1}{M}}$, $N,Mto infty$. Furthermore it is assumed that these entries have sub-exponential tails or sufficiently high number of moments. We will study the asymptotics in the regime $N/M=d_{N}in(0,infty),lim_{Ntoinfty}d_{N}neq0,infty$. Our main result is the edge universality of the sample covariance matrix at both edges of the spectrum. In the case $lim_{Ntoinfty}d_{N}=1$, we only focus on the largest eigenvalue. Our proof is based on a novel version of the Green function comparison theorem for data matrices with dependent entries. En route to proving edge universality, we establish that the Stieltjes transform of the empirical eigenvalue distribution of $H$ is given by the Marcenko–Pastur law uniformly up to the edges of the spectrum with an error of order $(Neta)^{-1}$ where $eta$ is the imaginary part of the spectral parameter in the Stieltjes transform. Combining these results with existing techniques we also show bulk universality of covariance matrices. All our results hold for both real and complex valued entries." @default.
• W2081946247 created "2016-06-24" @default.
• W2081946247 creator A5013117949 @default.
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• W2081946247 date "2014-06-01" @default.
• W2081946247 modified "2023-10-18" @default.
• W2081946247 title "Universality of covariance matrices" @default.
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• W2081946247 doi "https://doi.org/10.1214/13-aap939" @default.
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