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Tail sums of Wishart and GUE eigenvalues beyond the bulk edge

Statistics Theory 2017-07-26 v2 Probability Statistics Theory

Abstract

Consider the classical Gaussian unitary ensemble of size NN and the real Wishart ensemble WN(n,I)W_N(n,I). In the limits as NN \to \infty and N/nγ>0N/n \to \gamma > 0, the expected number of eigenvalues that exit the upper bulk edge is less than one, 0.031 and 0.170 respectively, the latter number being independent of γ\gamma. These statements are consequences of quantitative bounds on tail sums of eigenvalues outside the bulk which are established here for applications in high dimensional covariance matrix estimation.

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Cite

@article{arxiv.1704.06398,
  title  = {Tail sums of Wishart and GUE eigenvalues beyond the bulk edge},
  author = {Iain M. Johnstone},
  journal= {arXiv preprint arXiv:1704.06398},
  year   = {2017}
}

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11 pages