Zhi-Lin Wang

Local Law and Outlier Eigenvalues of Spiked Separable Covariance Matrices

We prove local laws for the resolvents of separable covariance matrices of the form $\mathcal Q=A^{1/2}XBX^*A^{1/2}$, where $X=(x_{ij})$ is a $p\times n$ random matrix whose entries $x_{ij}$ are i.i.d.~random variables with mean 0 and variance $n^{-1}$, and $A,B$ are deterministic non-negative definite symmetric (or He...