English

Extreme eigenvalues of Log-concave Ensemble

Probability 2022-12-23 v1 Functional Analysis Metric Geometry Statistics Theory Statistics Theory

Abstract

In this paper, we consider the log-concave ensemble of random matrices, a class of covariance-type matrices XXXX^* with isotropic log-concave XX-columns. A main example is the covariance estimator of the uniform measure on isotropic convex body. Non-asymptotic estimates and first order asymptotic limits for the extreme eigenvalues have been obtained in the literature. In this paper, with the recent advancements on log-concave measures \cite{chen, KL22}, we take a step further to locate the eigenvalues with a nearly optimal precision, namely, the spectral rigidity of this ensemble is derived. Based on the spectral rigidity and an additional ``unconditional" assumption, we further derive the Tracy-Widom law for the extreme eigenvalues of XXXX^*, and the Gaussian law for the extreme eigenvalues in case strong spikes are present.

Keywords

Cite

@article{arxiv.2212.11634,
  title  = {Extreme eigenvalues of Log-concave Ensemble},
  author = {Zhigang Bao and Xiaocong Xu},
  journal= {arXiv preprint arXiv:2212.11634},
  year   = {2022}
}
R2 v1 2026-06-28T07:48:36.122Z