Analysis of the limiting spectral measure of large random matrices of the separable covariance type

Consider the random matrix $\Sigma = D^{1/2} X \widetilde D^{1/2}$ where $D$ and $\widetilde D$ are deterministic Hermitian nonnegative matrices with respective dimensions $N \times N$ and $n \times n$, and where $X$ is a random matrix with independent and identically distributed centered elements with variance $1/n$. Assume that the dimensions $N$ and $n$ grow to infinity at the same pace, and that the spectral measures of $D$ and $\widetilde D$ converge as $N,n \to\infty$ towards two probability measures. Then it is known that the spectral measure of $\Sigma\Sigma^*$ converges towards a probability measure $\mu$ characterized by its Stieltjes Transform. In this paper, it is shown that $\mu$ has a density away from zero, this density is analytical wherever it is positive, and it behaves in most cases as $\sqrt{|x - a|}$ near an edge $a$ of its support. A complete characterization of the support of $\mu$ is also provided. \\ Beside its mathematical interest, this analysis finds applications in a certain class of statistical estimation problems.Comment: Correction of the proof of Lemma 3.

Universality for the largest eigenvalue of sample covariance matrices with general population

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 $\mathcal{W}_N=\Sigma^{1/2}XX^*\Sigma ^{1/2}$. Here, $X=(x_{ij})_{M,N}$ is an $M\times N$ random matrix with independent entries $x_{ij},1\leq i\leq M,1\leq j\leq N$ such that $\mathbb{E}x_{ij}=0$, $\mathbb{E}|x_{ij}|^2=1/N$. On dimensionality, we assume that $M=M(N)$ and $N/M\rightarrow d\in(0,\infty)$ as $N\rightarrow\infty$. For a class of general deterministic positive-definite $M\times M$ matrices $\Sigma$, under some additional assumptions on the distribution of $x_{ij}$'s, we show that the limiting behavior of the largest eigenvalue of $\mathcal{W}_N$ 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\H{o}s, 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 ($\Sigma=I$). Consequently, in the standard complex case ($\mathbb{E}x_{ij}^2=0$), 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 $\mathcal{W}_N$ converges weakly to the type 2 Tracy-Widom distribution $\mathrm{TW}_2$. Moreover, in the real case, we show that when $\Sigma$ is spiked with a fixed number of subcritical spikes, the type 1 Tracy-Widom limit $\mathrm{TW}_1$ holds for the normalized largest eigenvalue of $\mathcal {W}_N$, which extends a result of F\'{e}ral and P\'{e}ch\'{e} in [J. Math. Phys. 50 (2009) 073302] to the scenario of nondiagonal $\Sigma$ and more generally distributed $X$.Comment: Published in at http://dx.doi.org/10.1214/14-AOS1281 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org