The Annals of Statistics

The middle-scale asymptotics of Wishart matrices

Didier Chételat and Martin T. Wells

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Abstract

We study the behavior of a real $p$-dimensional Wishart random matrix with $n$ degrees of freedom when $n,p\rightarrow\infty$ but $p/n\rightarrow0$. We establish the existence of phase transitions when $p$ grows at the order $n^{(K+1)/(K+3)}$ for every $K\in\mathbb{N}$, and derive expressions for approximating densities between every two phase transitions. To do this, we make use of a novel tool we call the $\mathcal{F}$-conjugate of an absolutely continuous distribution, which is obtained from the Fourier transform of the square root of its density. In the case of the normalized Wishart distribution, this represents an extension of the $t$-distribution to the space of real symmetric matrices.

Article information

Source
Ann. Statist., Volume 47, Number 5 (2019), 2639-2670.

Dates
Received: July 2017
Revised: August 2018
First available in Project Euclid: 3 August 2019

Permanent link to this document
https://projecteuclid.org/euclid.aos/1564797859

Digital Object Identifier
doi:10.1214/18-AOS1760

Mathematical Reviews number (MathSciNet)
MR3988768

Subjects
Primary: 60B20: Random matrices (probabilistic aspects; for algebraic aspects see 15B52) 60B10: Convergence of probability measures
Secondary: 60E10: Characteristic functions; other transforms

Keywords
Covariance estimation Gaussian orthogonal ensemble high-dimensional asymptotics phase transitions random matric theory

Citation

Chételat, Didier; Wells, Martin T. The middle-scale asymptotics of Wishart matrices. Ann. Statist. 47 (2019), no. 5, 2639--2670. doi:10.1214/18-AOS1760. https://projecteuclid.org/euclid.aos/1564797859


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