Critical tensor covariance at the Marchenko-Pastur threshold

Abstract

For a centered, variance-one random variable $X$ with finite fourth moment, let $x$ be the vector of square-free degree-$d$ monomials in $n$ independent copies of $X$. At the critical scale $d^2/n \to λ\in (0,\infty)$, the normalized squared length of $x$ converges to the lognormal variable $R = \exp(\sqrt{λv}\, Z - λv/2)$, where $v = \mathbb{E} X^4 - 1$ and $Z$ is standard normal. If $\binom{n}{d}/N \to c \in (0,\infty)$, the sample covariance of $N$ independent copies of $x$ has an almost-sure limiting spectral law: the free compound-Poisson law with rate $1/c$ and jump distribution $\operatorname{Law}(cR)$. It reduces to Marchenko-Pastur when $λv = 0$. The proof shows that subtracting the contribution of the sample length leaves vanishing quadratic-form fluctuations, even when $\mathbb{E} X^3 \neq 0$; length and direction need not be independent.