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Hypergeometric functions of matrix arguments and linear statistics of multi-spiked Hermitian matrix models
Damien Passemier1; Matthew R. McKay1; Yang Chen2
2015-03-10
Source PublicationJournal of Multivariate Analysis
ABS Journal Level3
ISSN0047-259X
Volume139Pages:124-146
Abstract

This paper derives central limit theorems (CLTs) for general linear spectral statistics (LSS) of three important multi-spiked Hermitian random matrix ensembles. The first is the most common spiked scenario, proposed by Johnstone, which is a central Wishart ensemble with fixed-rank perturbation of the identity matrix, the second is a non-central Wishart ensemble with fixed-rank noncentrality parameter, and the third is a similarly defined non-central F ensemble. These CLT results generalize our recent work Passemier (2015) to account for multiple spikes, which is the most common scenario met in practice. The generalization is non-trivial, as it now requires dealing with hypergeometric functions of matrix arguments. To facilitate our analysis, for a broad class of such functions, we first generalize a recent result of Onatski (2014) to present new contour integral representations, which are particularly suitable for computing large-dimensional properties of spiked matrix ensembles. Armed with such representations, our CLT formulas are derived for each of the three spiked models of interest by employing the Coulomb fluid method from random matrix theory along with saddlepoint techniques. We find that for each matrix model, and for general LSS, the individual spikes contribute additively to yield a O(1) correction term to the asymptotic mean of the linear statistic, which we specify explicitly, whilst having no effect on the leading order terms of the mean or variance.

KeywordF-matrix High-dimensional Statistics Hypergeometric Function Random Matrix Theory Spiked Population Model Wishart Ensembles
DOI10.1016/j.jmva.2015.03.001
URLView the original
Indexed BySCIE
Language英語English
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000355891200008
Scopus ID2-s2.0-84925957056
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Document TypeJournal article
CollectionDEPARTMENT OF MATHEMATICS
Corresponding AuthorDamien Passemier
Affiliation1.Department of Electronic and Computer Engineering, Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong
2.Department of Mathematics, University of Macau, Avenue Padre Tomás Pereira, Taipa Macau, China
Recommended Citation
GB/T 7714
Damien Passemier,Matthew R. McKay,Yang Chen. Hypergeometric functions of matrix arguments and linear statistics of multi-spiked Hermitian matrix models[J]. Journal of Multivariate Analysis, 2015, 139, 124-146.
APA Damien Passemier., Matthew R. McKay., & Yang Chen (2015). Hypergeometric functions of matrix arguments and linear statistics of multi-spiked Hermitian matrix models. Journal of Multivariate Analysis, 139, 124-146.
MLA Damien Passemier,et al."Hypergeometric functions of matrix arguments and linear statistics of multi-spiked Hermitian matrix models".Journal of Multivariate Analysis 139(2015):124-146.
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