English

The smallest singular value of random rectangular matrices with no moment assumptions on entries

Probability 2014-09-30 v1

Abstract

Let δ>1\delta>1 and β>0\beta>0 be some real numbers. We prove that there are positive u,v,N0u,v,N_0 depending only on β\beta and δ\delta with the following property: for any N,nN,n such that Nmax(N0,δn)N\ge \max(N_0,\delta n), any N×nN\times n random matrix A=(aij)A=(a_{ij}) with i.i.d. entries satisfying supλRP{a11λ1}1β\sup\limits_{\lambda\in {\mathbb R}}{\mathbb P}\bigl\{|a_{11}-\lambda|\le 1\bigr\}\le 1-\beta and any non-random N×nN\times n matrix BB, the smallest singular value sns_n of A+BA+B satisfies P{sn(A+B)uN}exp(vN){\mathbb P}\bigl\{s_n(A+B)\le u\sqrt{N}\bigr\}\le \exp(-vN). The result holds without any moment assumptions on distribution of the entries of AA.

Keywords

Cite

@article{arxiv.1409.7975,
  title  = {The smallest singular value of random rectangular matrices with no moment assumptions on entries},
  author = {Konstantin E. Tikhomirov},
  journal= {arXiv preprint arXiv:1409.7975},
  year   = {2014}
}