Affiliation:
1. Department of Mathematics, Harvard University, Cambridge, MA 02138, USA
Abstract
We consider the eigenvalues and eigenvectors of small rank perturbations of random [Formula: see text] matrices. We allow the rank of perturbation [Formula: see text] to increase with [Formula: see text], and the only assumption is [Formula: see text]. The spiked population model, proposed by Johnstone [On the distribution of the largest eigenvalue in principal components analysis, Ann. Statist. 29(2) (2001) 295–327], is of this kind, in which all the population eigenvalues are 1’s except for a few fixed eigenvalues. Our model is more general since we allow the number of non-unit population eigenvalues to grow with the population size. In both additive and multiplicative perturbation models, we study the nonasymptotic relation between the extreme eigenvalues of the perturbed random matrix and those of the perturbation. As [Formula: see text] goes to infinity, we derive the empirical distribution of the extreme eigenvalues of the perturbed random matrix. We also compute the appropriate projection of eigenvectors corresponding to the extreme eigenvalues of the perturbed random matrix. We prove that they are approximate eigenvectors of the perturbation. Our results can be regarded as an extension of the finite rank perturbation case to the full generality up to [Formula: see text].
Publisher
World Scientific Pub Co Pte Lt
Subject
Discrete Mathematics and Combinatorics,Statistics, Probability and Uncertainty,Statistics and Probability,Algebra and Number Theory
Cited by
1 articles.
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1. Long random matrices and tensor unfolding;The Annals of Applied Probability;2023-12-01