English

Universality in the bulk of the spectrum for complex sample covariance matrices

Probability 2011-01-05 v2

Abstract

We consider complex sample covariance matrices MN=1NYYM_N=\frac{1}{N}YY^* where YY is a N×pN \times p random matrix with i.i.d. entries Yij,1iN,1jpY_{ij}, 1\leq i\leq N, 1\leq j \leq p with distribution FF. Under some regularity and decay assumption on FF, we prove universality of some local eigenvalue statistics in the bulk of the spectrum in the limit where NN\to \infty and limNp/N=γ\lim_{N \to \infty}p/N =\gamma for any real number γ(0,)\gamma \in (0, \infty).

Keywords

Cite

@article{arxiv.0912.2493,
  title  = {Universality in the bulk of the spectrum for complex sample covariance matrices},
  author = {S. Péché},
  journal= {arXiv preprint arXiv:0912.2493},
  year   = {2011}
}

Comments

Typos corrected, figures and exposition improved