Universality in the bulk of the spectrum for complex sample covariance matrices

preprint2011arXivOpen access

Abstract

We consider complex sample covariance matrices MN=1NYY∗M_N=\frac{1}{N}YY^* where YY is a N×pN \times p random matrix with i.i.d. entries Yij,1≤i≤N,1≤j≤pY_{ij}, 1\leq i\leq N, 1\leq j \leq p with distribution FF. Under some regularity and decay assumption on FF, we prove universality of some local eigenvalue statistics in the bulk of the spectrum in the limit where N→∞N\to \infty and lim⁡N→∞p/N=γ\lim_{N \to \infty}p/N =γ for any real number γ∈(0,∞)γ\in (0, \infty).

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