The limit of the smallest singular value of random matrices with i.i.d. entries
Abstract
Let \aij\ (1 i,j<∞) be i.i.d. real valued random variables with zero mean and unit variance and let an integer sequence (Nm)m=1∞ satisfy m/Nm z for some z∈(0,1). For each m∈ N denote by Am the Nm× m random matrix (aij) (1 i Nm,1 j m) and let sm(Am) be its smallest singular value. We prove that the sequence (Nm-1/2 sm(Am))m=1∞ converges to 1-z almost surely. Our result does not require boundedness of any moments of aij's higher than the 2-nd and resolves a long standing question regarding the weakest moment assumptions on the distribution of the entries sufficient for the convergence to hold.
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