Skip to main content

Quantitative Version of a Silverstein’s Result

  • Chapter
  • First Online:
Geometric Aspects of Functional Analysis

Part of the book series: Lecture Notes in Mathematics ((LNM,volume 2116))

Abstract

We prove a quantitative version of a Silverstein’s Theorem on the 4-th moment condition for convergence in probability of the norm of a random matrix. More precisely, we show that for a random matrix with i.i.d. entries, satisfying certain natural conditions, its norm cannot be small.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

eBook
USD 16.99
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 16.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

References

  1. R. Adamczak, A.E. Litvak, A. Pajor, N. Tomczak-Jaegermann, Quantitative estimates of the convergence of the empirical covariance matrix in log-concave ensembles. J. Am. Math. Soc. 23, 535–561 (2010)

    Article  MathSciNet  MATH  Google Scholar 

  2. R. Adamczak, A.E. Litvak, A. Pajor, N. Tomczak-Jaegermann, Restricted isometry property of matrices with independent columns and neighborly polytopes by random sampling. Constr. Approx. 34, 61–88 (2011)

    Article  MathSciNet  MATH  Google Scholar 

  3. R. Adamczak, A.E. Litvak, A. Pajor, N. Tomczak-Jaegermann, Sharp bounds on the rate of convergence of empirical covariance matrix. C.R. Math. Acad. Sci. Paris 349, 195–200 (2011)

    Google Scholar 

  4. G.W. Anderson, A. Guionnet, O. Zeitouni, An Introduction to Random Matrices. Cambridge Studies in Advanced Mathematics, vol. 118 (Cambridge University Press, Cambridge, 2010)

    Google Scholar 

  5. A. Auffinger, G. Ben Arous, S. Péché, Sandrine Poisson convergence for the largest eigenvalues of heavy tailed random matrices. Ann. Inst. Henri Poincaré Probab. Stat. 45, 589–610 (2009)

    Article  MATH  Google Scholar 

  6. Z.D. Bai, J.W. Silverstein, Spectral Analysis of Large Dimensional Random Matrices, 2nd edn. Springer Series in Statistics (Springer, New York, 2010)

    Google Scholar 

  7. Z.D. Bai, J. Silverstein, Y.Q. Yin, A note on the largest eigenvalue of a large dimensional sample covariance matrix. J. Multivar. Anal. 26(2), 166–168 (1988)

    Article  MathSciNet  MATH  Google Scholar 

  8. O. Guédon, A.E. Litvak, A. Pajor, N. Tomczak-Jaegermann, Restricted isometry property for random matrices with heavy tailed columns. C.R. Math. Acad. Sci. Paris 352, 431–434 (2014)

    Google Scholar 

  9. O. Guédon, A.E. Litvak, A. Pajor, N. Tomczak-Jaegermann, On the interval of fluctuation of the singular values of random matrices (submitted)

    Google Scholar 

  10. Y. Gordon, On Dvoretzky’s theorem and extensions of Slepian’s lemma, in Israel Seminar on Geometrical Aspects of Functional Analysis (1983/84), II (Tel Aviv University, Tel Aviv, 1984)

    Google Scholar 

  11. Y. Gordon, Some inequalities for Gaussian processes and applications. Isr. J. Math. 50, 265–289 (1985)

    Article  MATH  Google Scholar 

  12. R. Latala, Some estimates of norms of random matrices. Proc. Am. Math. Soc. 133, 1273–1282 (2005)

    Article  MathSciNet  MATH  Google Scholar 

  13. S. Mendelson, G. Paouris, On generic chaining and the smallest singular values of random matrices with heavy tails. J. Funct. Anal. 262, 3775–3811 (2012)

    Article  MathSciNet  MATH  Google Scholar 

  14. S. Mendelson, G. Paouris, On the singular values of random matrices. J. Eur. Math. Soc. 16, 823–834 (2014)

    Article  MathSciNet  MATH  Google Scholar 

  15. L. Pastur, M. Shcherbina, Eigenvalue Distribution of Large Random Matrices. Mathematical Surveys and Monographs, vol. 171 (American Mathematical Society, Providence, 2011)

    Google Scholar 

  16. Y. Seginer, The expected norm of random matrices. Combin. Probab. Comput. 9, 149–166 (2000)

    Article  MathSciNet  MATH  Google Scholar 

  17. J. Silverstein, On the weak limit of the largest eigenvalue of a large dimensional sample covariance matrix. J. Multivar. Anal. 30(2), 307–311 (1989)

    Article  MathSciNet  MATH  Google Scholar 

  18. N. Srivastava, R. Vershynin, Covariance estimation for distributions with 2+epsilon moments. Ann. Probab. 41, 3081–3111 (2013)

    Article  MathSciNet  MATH  Google Scholar 

  19. S.J. Szarek, Condition numbers of random matrices. J. Complex. 7(2), 131–149 (1991)

    Article  MathSciNet  MATH  Google Scholar 

  20. Y.Q. Yin, Z.D. Bai, P.R. Krishnaiah, On the limit of the largest eigenvalue of the large dimensional sample covariance matrix. Probab. Theory Relat. Fields 78, 509–527 (1988)

    Article  MathSciNet  MATH  Google Scholar 

Download references

Acknowledgements

We are grateful to A. Pajor for useful comments and to S. Sodin for bringing reference [5] to our attention. Research partially supported by the E.W.R. Steacie Memorial Fellowship.

Author information

Authors and Affiliations

Authors

Corresponding author

Correspondence to Alexander E. Litvak .

Editor information

Editors and Affiliations

Rights and permissions

Reprints and permissions

Copyright information

© 2014 Springer International Publishing Switzerland

About this chapter

Cite this chapter

Litvak, A.E., Spektor, S. (2014). Quantitative Version of a Silverstein’s Result. In: Klartag, B., Milman, E. (eds) Geometric Aspects of Functional Analysis. Lecture Notes in Mathematics, vol 2116. Springer, Cham. https://doi.org/10.1007/978-3-319-09477-9_21

Download citation

Publish with us

Policies and ethics