Speaker: Zhixiang Zhang
Institution: Nanyan Technological University
Time: 11:00-12:00
Date: Thursday 5 August 2021
Title: Tracy-Widom law for the extreme eigenvalues of large signal-plus-noise matrices
Abstract: We study the asymptotic distribution for extreme eigenvalues of large signal-plus-noise type of matrices. Assume that the data matrix is S=R+X where the signal matrix R is allowed to be full rank and the noise matrix X contains i.i.d. standardized entries. Under some regularity conditions of the signal matrix R that assure the square root behavior of spectral density near the edge, we prove that the extreme eigenvalues of signal-plus-noise matrices have Tracy-Widom distribution under a tail condition of entries of X. Moreover, the tail condition is proved to be necessary and sufficient to assure the Tracy-Widom laws. Applications of our results on signal detection and data privacy will be discussed.
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