A CLT for information-theoretic statistics of Gram random matrices with a given variance profile
Hachem, Walid ; Loubaton, Philippe ; Najim, Jamal
Ann. Appl. Probab., Tome 18 (2008) no. 1, p. 2071-2130 / Harvested from Project Euclid
Consider an N×n random matrix Yn=(Ynij) with entries given by ¶ \[Y_{ij}^{n}=\frac{\sigma_{ij}(n)}{\sqrt{n}}X_{ij}^{n},\] ¶ the Xnij being centered, independent and identically distributed random variables with unit variance and (σij(n); 1≤i≤N, 1≤j≤n) being an array of numbers we shall refer to as a variance profile. In this article, we study the fluctuations of the random variable ¶ log det(YnY*n+ρIN), ¶ where Y* is the Hermitian adjoint of Y and ρ>0 is an additional parameter. We prove that, when centered and properly rescaled, this random variable satisfies a central limit theorem (CLT) and has a Gaussian limit whose parameters are identified whenever N goes to infinity and N/n→c∈(0, ∞). A complete description of the scaling parameter is given; in particular, it is shown that an additional term appears in this parameter in the case where the fourth moment of the Xij’s differs from the fourth moment of a Gaussian random variable. Such a CLT is of interest in the field of wireless communications.
Publié le : 2008-12-15
Classification:  Random matrix,  empirical distribution of the eigenvalues,  Stieltjes transform,  15A52,  15A18,  60F15
@article{1227708913,
     author = {Hachem, Walid and Loubaton, Philippe and Najim, Jamal},
     title = {A CLT for information-theoretic statistics of Gram random matrices with a given variance profile},
     journal = {Ann. Appl. Probab.},
     volume = {18},
     number = {1},
     year = {2008},
     pages = { 2071-2130},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1227708913}
}
Hachem, Walid; Loubaton, Philippe; Najim, Jamal. A CLT for information-theoretic statistics of Gram random matrices with a given variance profile. Ann. Appl. Probab., Tome 18 (2008) no. 1, pp.  2071-2130. http://gdmltest.u-ga.fr/item/1227708913/