Publication | Open Access
Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices
952
Citations
34
References
2005
Year
Spectral TheoryStochastic SimulationCovariance MatrixEngineeringPhysicsMatrix AnalysisStochastic ProcessesSample Covariance MatrixStochastic AnalysisProbability TheoryMatrix TheoryRandom MatrixLargest EigenvalueRandom Matrix TheoryStatisticsQueueing SystemsFluid Queue
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.
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