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

Universality for a global property of the eigenvectors of Wigner matrices

Let $M_n$ be an $n\times n$ real (resp. complex) Wigner matrix and $U_n\Lambda_n U_n^*$ be its spectral decomposition. Set $(y_1,y_2...,y_n)^T=U_n^*x$, where $x=(x_1,x_2,...,$ $x_n)^T$ is a real (resp. complex) unit vector. Under the assumption that the elements of $M_n$ have 4 matching moments with those of GOE (resp. GUE), we show that the process $X_n(t)=\sqrt{\frac{\beta n}{2}}\sum_{i=1}^{\lfloor nt\rfloor}(|y_i|^2-\frac1n)$ converges weakly to the Brownian bridge for any $\mathbf{x}$ such that $||x||_\infty\rightarrow 0$ as $n\rightarrow \infty$, where $\beta=1$ for the real case and $\beta=2$ for the complex case. Such a result indicates that the othorgonal (resp. unitary) matrices with columns being the eigenvectors of Wigner matrices are asymptotically Haar distributed on the orthorgonal (resp. unitary) group from a certain perspective.Comment: typos correcte

Tracy-Widom law for the extreme eigenvalues of sample correlation matrices

Let the sample correlation matrix be $W=YY^T$, where $Y=(y_{ij})_{p,n}$ with $y_{ij}=x_{ij}/\sqrt{\sum_{j=1}^nx_{ij}^2}$. We assume $\{x_{ij}: 1\leq i\leq p, 1\leq j\leq n\}$ to be a collection of independent symmetric distributed random variables with sub-exponential tails. Moreover, for any $i$, we assume $x_{ij}, 1\leq j\leq n$ to be identically distributed. We assume $0<p<n$ and $p/n\rightarrow y$ with some $y\in(0,1)$ as $p,n\rightarrow\infty$. In this paper, we provide the Tracy-Widom law ($TW_1$) for both the largest and smallest eigenvalues of $W$. If $x_{ij}$ are i.i.d. standard normal, we can derive the $TW_1$ for both the largest and smallest eigenvalues of the matrix $\mathcal{R}=RR^T$, where $R=(r_{ij})_{p,n}$ with $r_{ij}=(x_{ij}-\bar x_i)/\sqrt{\sum_{j=1}^n(x_{ij}-\bar x_i)^2}$, $\bar x_i=n^{-1}\sum_{j=1}^nx_{ij}$.Comment: 35 pages, a major revisio

Spatial and temporal aspects of land use in the urban-rural fringe in china: a GIS approach

Since the reform in 1979, China's rural and urban economies have been extremely active. This has accelerated greatly the urbanisation process in the peripheral areas of metropolises. Urban regions extended into rural areas by way of urban sprawl and population concentration in the rural-urban fringe, in which the types and structures of land use changed rapidly. The rural-urban fringe has been an extremely active area in contemporary Chinese socio-economy. It is also a belt of concentration of development and construction of rural and urban kinds. In seeking to apply geographical information systems to such an important area of land use change, this research studies the general principles of the formation, evolution and development of rural-urban fringe with a case study in Tianhe District of Guangzhou Municipality, China. This research analyses the following three aspects of land use change. Firstly, the land use conditions and situations are discussed in the form of their fundamental characteristics in various years. Secondly, the spatial changes of land uses are characterised in terms of the distance from the city centre including the effects of the physical landscape. Finally, the main emphasis is put upon the impacts of policies on land use distribution. Three different time periods (1973, 1993 and predicted 2010) are applied to compare the changes of land use. According to the analysis of the trend of land use change in this study, the development of Tianhe District from a traditional rural area to a rural-urban fringe is a considered as result of the Guangzhou urban sprawl. Its specific location, economic development levels, population conditions and policy advantages have influenced this evolution process and brought about the spatial changes and spatial structure of land use. Keywords: Land use change, rural-urban fringe, China, GI

Statistical methods for spatial screening

Military bases that have been used for weapon-testing and training usually are contaminated with unexploded ordnance (UXO). These sites can be returned to public use only after UXO remediation. The cleaning-up procedure is usually very expensive and time-consuming. This demands statistical tools to provide more effective sampling strategy and to characterize the UXO distribution. Based on the physical characteristics of UXO deposition, we adopt a simplified Neyman-Scott process to model the UXO distribution. A line transect survey is used to collect data on one coordinate of individual object locations. Two-stage (global and local) sampling strategy is applied to screen the contaminated site. In the global sampling, the estimators of the cluster intensity, mean cluster size and cluster dispersion are provided. The theoretical variance estimators of all the cluster parameters are also given. Simulation studies show that all the parameter estimates perform well and their theoretical variance estimates are reasonably close to their corresponding sample variances. In the local sampling, an inclusion region for covering all the unobserved objects in a cluster is proposed. Its asymptotic coverage property is given and proved. Simulation studies show the actual coverage of the inclusion region is very close to the nominal level

Quasiperiodic, periodic, and slowing-down states of coupled heteroclinic cycles

We investigate two coupled oscillators, each of which shows an attracting heteroclinic cycle in the absence of coupling. The two heteroclinic cycles are nonidentical. Weak coupling can lead to the elimination of the slowing-down state that asymptotically approaches the heteroclinic cycle for a single cycle, giving rise to either quasiperiodic motion with separate frequencies from the two cycles or periodic motion in which the two cycles are synchronized. The synchronization transition, which occurs via a Hopf bifurcation, is not induced by the commensurability of the two cycle frequencies but rather by the disappearance of the weaker frequency oscillation. For even larger coupling the motion changes via a resonant heteroclinic bifurcation to a slowing-down state corresponding to a single attracting heteroclinic orbit. Coexistence of multiple attractors can be found for some parameter regions. These results are of interest in ecological, sociological, neuronal, and other dynamical systems, which have the structure of coupled heteroclinic cycles

Spectral statistics of large dimensional Spearman's rank correlation matrix and its application

Let $\mathbf{Q}=(Q_1,\ldots,Q_n)$ be a random vector drawn from the uniform distribution on the set of all $n!$ permutations of $\{1,2,\ldots,n\}$. Let $\mathbf{Z}=(Z_1,\ldots,Z_n)$, where $Z_j$ is the mean zero variance one random variable obtained by centralizing and normalizing $Q_j$, $j=1,\ldots,n$. Assume that $\mathbf {X}_i,i=1,\ldots ,p$ are i.i.d. copies of $\frac{1}{\sqrt{p}}\mathbf{Z}$ and $X=X_{p,n}$ is the $p\times n$ random matrix with $\mathbf{X}_i$ as its $i$th row. Then $S_n=XX^*$ is called the $p\times n$ Spearman's rank correlation matrix which can be regarded as a high dimensional extension of the classical nonparametric statistic Spearman's rank correlation coefficient between two independent random variables. In this paper, we establish a CLT for the linear spectral statistics of this nonparametric random matrix model in the scenario of high dimension, namely, $p=p(n)$ and $p/n\to c\in(0,\infty)$ as $n\to\infty$. We propose a novel evaluation scheme to estimate the core quantity in Anderson and Zeitouni's cumulant method in [Ann. Statist. 36 (2008) 2553-2576] to bypass the so-called joint cumulant summability. In addition, we raise a two-step comparison approach to obtain the explicit formulae for the mean and covariance functions in the CLT. Relying on this CLT, we then construct a distribution-free statistic to test complete independence for components of random vectors. Owing to the nonparametric property, we can use this test on generally distributed random variables including the heavy-tailed ones.Comment: Published at http://dx.doi.org/10.1214/15-AOS1353 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

An alternative approach to determining average distance in a class of scale-free modular networks

Various real-life networks of current interest are simultaneously scale-free and modular. Here we study analytically the average distance in a class of deterministically growing scale-free modular networks. By virtue of the recursive relations derived from the self-similar structure of the networks, we compute rigorously this important quantity, obtaining an explicit closed-form solution, which recovers the previous result and is corroborated by extensive numerical calculations. The obtained exact expression shows that the average distance scales logarithmically with the number of nodes in the networks, indicating an existence of small-world behavior. We present that this small-world phenomenon comes from the peculiar architecture of the network family.Comment: Submitted for publicactio