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We study point process convergence for sequences of iid random walks. The objective is to derive asymptotic theory for the extremes of these random walks. We show convergence of the maximum random walk to the Gumbel distribution under the existence of a $(2+delta)$th moment. We make heavily use of precise large deviation results for sums of iid random variables. As a consequence, we derive the joint convergence of the off-diagonal entries in sample covariance and correlation matrices of a high-dimensional sample whose dimension increases with the sample size. This generalizes known results on the asymptotic Gumbel property of the largest entry.
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We establish a quantitative version of the Tracy--Widom law for the largest eigenvalue of high dimensional sample covariance matrices. To be precise, we show that the fluctuations of the largest eigenvalue of a sample covariance matrix $X^*X$ converge to its Tracy--Widom limit at a rate nearly $N^{-1/3}$, where $X$ is an $M times N$ random matrix whose entries are independent real or complex random variables, assuming that both $M$ and $N$ tend to infinity at a constant rate. This result improves the previous estimate $N^{-2/9}$ obtained by Wang [73]. Our proof relies on a Green function comparison method [27] using iterative cumulant expansions, the local laws for the Green function and asymptotic properties of the correlation kernel of the white Wishart ensemble.
We consider large complex random sample covariance matrices obtained from spiked populations, that is when the true covariance matrix is diagonal with all but finitely many eigenvalues equal to one. We investigate the limiting behavior of the largest eigenvalues when the population and the sample sizes both become large. Under some conditions on moments of the sample distribution, we prove that the asymptotic fluctuations of the largest eigenvalues are the same as for a complex Gaussian sample with the same true covariance. The real setting is also considered.
We consider $N$ by $N$ deformed Wigner random matrices of the form $X_N=H_N+A_N$, where $H_N$ is a real symmetric or complex Hermitian Wigner matrix and $A_N$ is a deterministic real bounded diagonal matrix. We prove a universal Central Limit Theorem for the linear eigenvalue statistics of $X_N$ for all mesoscopic scales both in the spectral bulk and at regular edges where the global eigenvalue density vanishes as a square root. The method relies on the characteristic function method in [47], local laws for the Green function of $X_N$ in [3, 46, 51] and analytic subordination properties of the free additive convolution [24, 41]. We also prove the analogous results for high-dimensional sample covariance matrices.
We consider ensembles of real symmetric band matrices with entries drawn from an infinite sequence of exchangeable random variables, as far as the symmetry of the matrices permits. In general the entries of the upper triangular parts of these matrices are correlated and no smallness or sparseness of these correlations is assumed. It is shown that the eigenvalue distribution measures still converge to a semicircle but with random scaling. We also investigate the asymptotic behavior of the corresponding $ell_2$-operator norms. The key to our analysis is a generalisation of a classic result by de Finetti that allows to represent the underlying probability spaces as averages of Wigner band ensembles with entries that are not necessarily centred. Some of our results appear to be new even for such Wigner band matrices.
This paper investigates the central limit theorem for linear spectral statistics of high dimensional sample covariance matrices of the form $mathbf{B}_n=n^{-1}sum_{j=1}^{n}mathbf{Q}mathbf{x}_jmathbf{x}_j^{*}mathbf{Q}^{*}$ where $mathbf{Q}$ is a nonrandom matrix of dimension $ptimes k$, and ${mathbf{x}_j}$ is a sequence of independent $k$-dimensional random vector with independent entries, under the assumption that $p/nto y>0$. A key novelty here is that the dimension $kge p$ can be arbitrary, possibly infinity. This new model of sample covariance matrices $mathbf{B}_n$ covers most of the known models as its special cases. For example, standard sample covariance matrices are obtained with $k=p$ and $mathbf{Q}=mathbf{T}_n^{1/2}$ for some positive definite Hermitian matrix $mathbf{T}_n$. Also with $k=infty$ our model covers the case of repeated linear processes considered in recent high-dimensional time series literature. The CLT found in this paper substantially generalizes the seminal CLT in Bai and Silverstein (2004). Applications of this new CLT are proposed for testing the structure of a high-dimensional covariance matrix. The derived tests are then used to analyse a large fMRI data set regarding its temporary correlation structure.
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