A Limit Theorem for the Norm of Random Matrices
Geman, Stuart
Ann. Probab., Tome 8 (1980) no. 6, p. 252-261 / Harvested from Project Euclid
This paper establishes an almost sure limit for the operator norm of rectangular random matrices: Suppose $\{v_{ij}\}i = 1,2, \cdots, j = 1,2, \cdots$ are zero mean i.i.d. random variables satisfying the moment condition $E|\nu_{11}|^n \leqslant n^{\alpha n}$ for all $n \geqslant 2$, and some $\alpha$. Let $\sigma^2 = Ev^2_{11}$ and let $V_{pn}$ be the $p \times n$ matrix $\{v_{ij}\}_{1\leqslant i\leqslant p; 1\leqslant j\leqslant n}$. If $p_n$ is a sequence of integers such that $p_n/n \rightarrow y$ as $n \rightarrow \infty$, for some $0 < y < \infty$, then $1/n|V_{p_nn}V^T_{p_nn}| \rightarrow (1 + y^{\frac{1}{2}})^2\sigma^2$ almost surely, where $|A|$ denotes the operator ("induced") norm of $A$. Since $1/n|V_{p_nn}V^T_{p_nn}|$ is the maximum eigenvalue of $1/nV_{p_nn}V^T_{p_nn}$, the result relates to studies on the spectrum of symmetric random matrices.
Publié le : 1980-04-14
Classification:  Random matrices,  maximum eigenvalue of symmetric random matrices,  norm of random matrices,  60F15,  60C05
@article{1176994775,
     author = {Geman, Stuart},
     title = {A Limit Theorem for the Norm of Random Matrices},
     journal = {Ann. Probab.},
     volume = {8},
     number = {6},
     year = {1980},
     pages = { 252-261},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176994775}
}
Geman, Stuart. A Limit Theorem for the Norm of Random Matrices. Ann. Probab., Tome 8 (1980) no. 6, pp.  252-261. http://gdmltest.u-ga.fr/item/1176994775/