Tracy-Widom distribution for the edge eigenvalues of Gram type random matrices

Xiucai Ding University of California, Davis Fan Yang University of Pennsylvania

Probability Statistics Theory and Methods mathscidoc:2111.28001

2021.11
Large dimensional Gram type matrices are common objects in high-dimensional statistics and machine learning. In this paper, we study the limiting distribution of the edge eigenvalues for a general class of high-dimensional Gram type random matrices, including separable sample covariance matrices, sparse sample covariance matrices, bipartite stochastic block model and random Gram matrices with general variance profiles. Specifically, we prove that under (almost) sharp moment conditions and certain tractable regularity assumptions, the edge eigenvalues, i.e., the largest few eigenvalues of non-spiked Gram type random matrices or the extremal bulk eigenvalues of spiked Gram type random matrices, satisfy the Tracy-Widom distribution asymptotically. Our results can be used to construct adaptive, accurate and powerful statistics for high-dimensional statistical inference. In particular, we propose data-dependent statistics to infer the number of signals under general noise structure, test the one-sided sphericity of separable matrix, and test the structure of bipartite stochastic block model. Numerical simulations show strong support of our proposed statistics. The core of our proof is to establish the edge universality and Tracy-Widom distribution for a rectangular Dyson Brownian motion with regular initial data. This is a general strategy to study the edge statistics for high-dimensional Gram type random matrices without exploring the specific independence structure of the target matrices. It has potential to be applied to more general random matrices that are beyond the ones considered in this paper.
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@inproceedings{xiucai2021tracy-widom,
  title={Tracy-Widom distribution for the edge eigenvalues of Gram type random matrices},
  author={Xiucai Ding, and Fan Yang},
  url={http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20211103234758794053881},
  year={2021},
}
Xiucai Ding, and Fan Yang. Tracy-Widom distribution for the edge eigenvalues of Gram type random matrices. 2021. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20211103234758794053881.
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