Tracy-Widom law for the extreme eigenvalues of large signal-plus-noise matrices

09/25/2020

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by   Zhixiang Zhang, et al.

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Let =+ be an M× N matrix, where is a rectangular diagonal matrix and consists of i.i.d. entries. This is a signal-plus-noise type model. Its signal matrix could be full rank, which is rarely studied in literature compared with the low rank cases. This paper is to study the extreme eigenvalues of ^*. We show that under the high dimensional setting (M/N→ c∈(0,1]) and some regularity conditions on the rescaled extreme eigenvalue converges in distribution to Tracy-Widom distribution (TW_1).