Local Marchenko–Pastur law at the hard edge of the sample covariance ensemble

Abstract

Consider an N by N matrix X of complex entries with iid real and imaginary parts. We show that the local density of eigenvalues of X*X converges to the Marchenko–Pastur law on the optimal scale with probability 1. We also obtain rigidity of the eigenvalues in the bulk and near both hard and soft edges. Here we avoid logarithmic and polynomial corrections by working directly with high powers of expectation of the Stieltjes transforms. We work under the assumption that the entries have a finite fourth moment and are truncated at N1/4, or alternatively with exploding moments. In this work we simplify and adapt the methods from prior papers of Götze–Tikhomirov [Probab. Relat. Fields 165(1–2), 163–233 (2016)] and Cacciapuoti–Maltsev–Schlein [Probab. Theory Relat. Fields 163(1–2), 1–59 (2015)] to covariance matrices.