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On the largest eigenvalue of Wishart matrices with identity covariance when n, p and p/n tend to infinity

Noureddine El Karoui
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Abstract

Let X be a n*p matrix and l_1 the largest eigenvalue of the covariance matrix X^{*}*X. The "null case" where X_{i,j} are independent Normal(0,1) is of particular interest for principal component analysis. For this model, when n, p tend to infinity and n/p tends to gamma in (0,\infty), it was shown in Johnstone (2001) that l_1, properly centered and scaled, converges to the Tracy-Widom law. We show that with the same centering and scaling, the result is true even when p/n or n/p tends to infinity. The derivation uses ideas and techniques quite similar to the ones presented in Johnstone (2001). Following Soshnikov (2002), we also show that the same is true for the joint distribution of the k largest eigenvalues, where k is a fixed integer. Numerical experiments illustrate the fact that the Tracy-Widom approximation is reasonable even when one of the dimension is "small".

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Noureddine El Karoui. 2003-09-22. On the largest eigenvalue of Wishart matrices with identity covariance when n, p and p/n tend to infinity. https://arxiv.org/abs/math/0309355

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