Almost sure localization of the eigenvalues in a gaussian information plus noise model. Applications to the spiked models
Abstract
Let N be a M × N random matrix defined by N = BN + σ WN where BN is a uniformly bounded deterministic matrix and where WN is an independent identically distributed complex Gaussian matrix with zero mean and variance 1N entries. The purpose of this paper is to study the almost sure location of the eigenvalues λ1,N ≥ ... ≥ λM,N of the Gram matrix N N* when M and N converge to +∞ such that the ratio cN = MN converges towards a constant c > 0. The results are used in order to derive, using an alernative approach, known results concerning the behaviour of the largest eigenvalues of N N* when the rank of BN remains fixed when M and N converge to +∞.
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