Edge universality of separable covariance matrices

Abstract

In this paper, we prove the edge universality of largest eigenvalues for separable covariance matrices of the form Q:= A1/2XBX*A1/2. Here X = (xij) is an n × N random matrix with xij = N-1/2qij, where qij are i.i.d. random variables with zero mean and unit variance, and A and B are respectively n × n and N × N deterministic non-negative definite symmetric (or Hermitian) matrices. We consider the highdimensional case, i.e. n/N → d ε (0,∞) as N → 1. Assuming E3 qij = 0 and some mild conditions on A and B, we prove that the limiting distribution of the largest eigenvalue of Q coincide with that of the corresponding Gaussian ensemble (i.e. Q with X being an i.i.d. Gaussian matrix) as long as we have lims→∞ s4P(|qij ≥ s) = 0, which is a sharp moment condition for edge universality. If we take B = I, then Q becomes the normal sample covariance matrix and the edge universality holds true without the vanishing third moment condition. So far, this is the strongest edge universality result for sample covariance matrices with correlated data (i.e. nondiagonal A) and heavy tails, which improves the previous results in [6, 39] (assuming high moments and diagonal A), [37] (assuming high moments) and [14] (assuming diagonal A).