English

A remark on the smallest singular value of powers of Gaussian matrices

Probability 2020-01-28 v3

Abstract

Let n,k1n,k\geq 1 and let GG be the n×nn\times n random matrix with i.i.d. standard real Gaussian entries. We show that there are constants ck,Ck>0c_k,C_k>0 depending only on kk such that the smallest singular value of GkG^k satisfies cktP{smin(Gk)tkn1/2}Ckt,t(0,1], c_k\,t\leq {\mathbb P}\big\{s_{\min}(G^k)\leq t^k\,n^{-1/2}\big\}\leq C_k\,t,\quad t\in(0,1], and, furthermore, ck/tP{GkHStkn1/2}Ck/t,t[1,), c_k/t\leq {\mathbb P}\big\{\|G^{-k}\|_{HS}\geq t^k\,n^{1/2}\big\}\leq C_k/t,\quad t\in[1,\infty), where HS\|\cdot\|_{HS} denotes the Hilbert-Schmidt norm.

Keywords

Cite

@article{arxiv.1910.03702,
  title  = {A remark on the smallest singular value of powers of Gaussian matrices},
  author = {Han Huang and Konstantin Tikhomirov},
  journal= {arXiv preprint arXiv:1910.03702},
  year   = {2020}
}

Comments

A typo corrected