A necessary and sufficient condition for edge universality at the largest singular values of covariance matrices (1607.06873v2)

Abstract: In this paper, we prove a necessary and sufficient condition for the edge universality of sample covariance matrices with general population. We consider sample covariance matrices of the form $\mathcal Q = TX(TX)^{*}$, where the sample $X$ is an $M_2\times N$ random matrix with $i.i.d.$ entries with mean zero and variance $N^{-1}$, and $T$ is an $M_1 \times M_2$ deterministic matrix satisfying $T^* T$ is diagonal. We study the asymptotic behavior of the largest eigenvalues of $\mathcal Q$ when $M:=\min{M_1,M_2}$ and $N$ tends to infinity with $\lim_{N \to \infty} {N}/{M}=d \in (0, \infty)$. Under mild assumptions of $T$, we prove that the Tracy-Widom law holds for the largest eigenvalue of $\mathcal Q$ if and only if $\lim_{s \rightarrow \infty}s^4 \mathbb{P}(| \sqrt{N} x_{ij}| \geq s)=0$. This condition was first proposed for Wigner matrices by Lee and Yin.