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Local semicircle law with imprimitive variance matrix (1311.2016v1)

Published 8 Nov 2013 in math.PR

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.

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