The smallest singular value for rectangular random matrices with Lévy entries
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| Format: | Preprint |
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2024
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| _version_ | 1866916867606577152 |
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| author | Han, Yi |
| author_facet | Han, Yi |
| contents | Let $X=(x_{ij})\in\mathbb{R}^{N\times n}$ be a rectangular random matrix with i.i.d. entries (we assume $N/n\to\mathbf{a}>1$), and denote by $σ_{min}(X)$ its smallest singular value. When entries have mean zero and unit second moment, the celebrated work of Bai-Yin and Tikhomirov show that $n^{-\frac{1}{2}}σ_{min}(X)$ converges almost surely to $\sqrt{\mathbf{a}}-1.$ However, little is known when the second moment is infinite. In this work we consider symmetric entry distributions satisfying $\mathbb{P}(|x_{ij}|>t)\sim t^{-α}$ for some $α\in(0,2)$, and
prove that $σ_{min}(X)$ can be determined up to a log factor with high probability: for any $D>0$, with probability at least $1-n^{-D}$ we have $$C_1n^{\frac{1}α}(\log n)^\frac{2(α-2)}α\leq σ_{min}(X)\leq C_2n^{\frac{1}α}(\log n)^\frac{α-2}{2α}$$ for some constants $C_1,C_2>0$. The upper bound was derived in a recent work of Bao, Lee and Xu \cite{bao2024phase2} but the lower bound is new and answers a problem posed in that paper in a weaker form. This appears to be the first determination of $σ_{min}(X)$ in the $α$-stable case with a correct leading order of $n$, as previous anti-concentration arguments only yield lower bound $n^\frac{1}{2}$. The same lower bound holds for $σ_{min}(X+B)$ for any fixed rectangular matrix $B$ with no assumption on its operator norm. The case of diverging aspect ratio is also computed. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2412_06246 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | The smallest singular value for rectangular random matrices with Lévy entries Han, Yi Probability Let $X=(x_{ij})\in\mathbb{R}^{N\times n}$ be a rectangular random matrix with i.i.d. entries (we assume $N/n\to\mathbf{a}>1$), and denote by $σ_{min}(X)$ its smallest singular value. When entries have mean zero and unit second moment, the celebrated work of Bai-Yin and Tikhomirov show that $n^{-\frac{1}{2}}σ_{min}(X)$ converges almost surely to $\sqrt{\mathbf{a}}-1.$ However, little is known when the second moment is infinite. In this work we consider symmetric entry distributions satisfying $\mathbb{P}(|x_{ij}|>t)\sim t^{-α}$ for some $α\in(0,2)$, and prove that $σ_{min}(X)$ can be determined up to a log factor with high probability: for any $D>0$, with probability at least $1-n^{-D}$ we have $$C_1n^{\frac{1}α}(\log n)^\frac{2(α-2)}α\leq σ_{min}(X)\leq C_2n^{\frac{1}α}(\log n)^\frac{α-2}{2α}$$ for some constants $C_1,C_2>0$. The upper bound was derived in a recent work of Bao, Lee and Xu \cite{bao2024phase2} but the lower bound is new and answers a problem posed in that paper in a weaker form. This appears to be the first determination of $σ_{min}(X)$ in the $α$-stable case with a correct leading order of $n$, as previous anti-concentration arguments only yield lower bound $n^\frac{1}{2}$. The same lower bound holds for $σ_{min}(X+B)$ for any fixed rectangular matrix $B$ with no assumption on its operator norm. The case of diverging aspect ratio is also computed. |
| title | The smallest singular value for rectangular random matrices with Lévy entries |
| topic | Probability |
| url | https://arxiv.org/abs/2412.06246 |