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Activity Number: 481 - Random Matrices and High-Dimensional Statistics
Type: Invited
Date/Time: Wednesday, July 31, 2019 : 10:30 AM to 12:20 PM
Sponsor: IMS
Abstract #300442 Presentation
Title: Edge Statistics of Sparse Random Sample Covariance Matrices
Author(s): Kevin Schnelli*
Companies: KTH Royal Institute of Technology

We consider the largest eigenvalues of sparse sample covariance matrices, the class of random matrices that includes biadjacency matrices of the bipartite Erd?s-Rényi graph model. We prove that the rescaled, shifted extremal eigenvalues exhibit GOE Tracy-Widom fluctuations under a suitable condition on the sparsity, which is optimal. The result suggests that the sparsity should be taken into consideration in some applications of random matrix theory due to a deterministic shift of the edge from the Marchenko-Pastur law. This is a joint work with Jong Yun Hwang and Ji Oon Lee.

Authors who are presenting talks have a * after their name.

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