We compute the limiting distributions of the largest eigenvalue of a complex Gaussian sample covariance matrix when both the number of samples and the number of variables in each sample become large. When all but finitely many, say r, eigenvalues of the covariance matrix are the same, the dependence of the limiting distribution of the largest eigenvalue of the sample covariance matrix on those distinguished r eigenvalues of the covariance matrix is completely characterized in terms of an infinite sequence of new distribution functions that generalize the Tracy–Widom distributions of the random matrix theory. Especially a phase transition phenomenon is observed. Our results also apply to a last passage percolation model and a queueing model.
Publié le : 2005-09-14
Classification:
Sample covariance,
limit theorem,
Tracy–Widom distribution,
Airy kernel,
random matrix,
15A52,
41A60,
60F99,
62E20,
62H20
@article{1127395869,
author = {Baik, Jinho and Ben Arous, G\'erard and P\'ech\'e, Sandrine},
title = {Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices},
journal = {Ann. Probab.},
volume = {33},
number = {1},
year = {2005},
pages = { 1643-1697},
language = {en},
url = {http://dml.mathdoc.fr/item/1127395869}
}
Baik, Jinho; Ben Arous, Gérard; Péché, Sandrine. Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices. Ann. Probab., Tome 33 (2005) no. 1, pp. 1643-1697. http://gdmltest.u-ga.fr/item/1127395869/