English

The smallest singular value of large random rectangular Toeplitz and circulant matrices

Probability 2025-01-22 v3

Abstract

Let xix_i, iZi\in\mathbb{Z} be a sequence of i.i.d. standard normal random variables. Consider rectangular Toeplitz X=(xji)1ip,1jn\mathbf{X}=\left(x_{j-i}\right)_{1\leq i\leq p,1\leq j\leq n} and circulant X=(x(ji)modn)1ip,1jn\mathbf{X}=\left(x_{(j-i)\mod n}\right)_{1\leq i\leq p,1\leq j\leq n} matrices. Let p,np,n\rightarrow\infty so that p/nc(0,1]p/n\rightarrow c\in(0,1]. We prove that the smallest eigenvalue of 1nXX\frac{1}{n}\mathbf{X}\mathbf{X}^\top converges to zero in probability and in expectation. We establish a lower bound on the rate of this convergence. The lower bound is faster than any poly-log but slower than any polynomial rate. For the ``rectangular circulant'' matrices, we also establish a polynomial upper bound on the convergence rate, which is a simple explicit function of cc.

Keywords

Cite

@article{arxiv.2412.17091,
  title  = {The smallest singular value of large random rectangular Toeplitz and circulant matrices},
  author = {Alexei Onatski and Vladislav Kargin},
  journal= {arXiv preprint arXiv:2412.17091},
  year   = {2025}
}

Comments

29 pages including Appendix, 4 figures

R2 v1 2026-06-28T20:45:44.623Z