A necessary and sufficient condition for edge universality at the largest singular values of covariance matrices

Abstract

In this paper, we prove a necessary and sufficient condition for the edge universality of sample covariance matrices with general population. We consider sample covariance matrices of the form Q = TX(TX)*, where the sample X is an M2× N random matrix with i.i.d. entries with mean zero and variance N-1, and T is an M1 × M2 deterministic matrix satisfying T* T is diagonal. We study the asymptotic behavior of the largest eigenvalues of Q when M:=\M1,M2\ and N tends to infinity with N ∞ N/M=d ∈ (0, ∞). Under mild assumptions of T, we prove that the Tracy-Widom law holds for the largest eigenvalue of Q if and only if s → ∞s4 P(| N xij| ≥ s)=0. This condition was first proposed for Wigner matrices by Lee and Yin.

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