Local semicircle law with imprimitive variance matrix

Abstract

We extend the proof of the local semicircle law for generalized Wigner matrices given in [4] to the case when the matrix of variances has an eigenvalue $-1$. In particular, this result provides a short proof of the optimal local Marchenko-Pastur law at the hard edge (i.e. around zero) for sample covariance matrices $\boldsymbol{\mathrm{X}}^\ast \boldsymbol{\mathrm{X}} $, where the variances of the entries of $ \boldsymbol{\mathrm{X}} $ may vary.

Locations

• arXiv (Cornell University) - View - PDF
• Electronic Communications in Probability - View - PDF