Ren-Yuan Ma

The anisotropic local law for sample covariance matrices under quadratic-form concentration

We study sample covariance matrices $K = \frac{1}{N} \sum_{i=1}^N \mathbf{x}_i \mathbf{x}_i^* \in \mathbb{R}^{n \times n}$ in the proportional regime $n \asymp N$. The columns $ \mathbf{x}_1, \ldots, \mathbf{x}_N \in \mathbb{R}^n$ are independent and centered, with common covariance $\mathbb{E} \mathbf{x}_i \mathbf{x}_...