Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Universality for the largest eigenvalue of sample covariance matrices
  with general population   This paper is aimed at deriving the universality of the largest eigenvalue of
a class of high-dimensional real or complex sample covariance matrices of the
form $\mathcal{W}_N=\Sigma^{1/2}XX^*\Sigma ^{1/2}$. Here, $X=(x_{ij})_{M,N}$ is
an $M\times N$ random matrix with independent entries $x_{ij},1\leq i\leq
M,1\leq j\leq N$ such that $\mathbb{E}x_{ij}=0$, $\mathbb{E}|x_{ij}|^2=1/N$. On
dimensionality, we assume that $M=M(N)$ and $N/M\rightarrow d\in(0,\infty)$ as
$N\rightarrow\infty$. For a class of general deterministic positive-definite
$M\times M$ matrices $\Sigma$, under some additional assumptions on the
distribution of $x_{ij}$'s, we show that the limiting behavior of the largest
eigenvalue of $\mathcal{W}_N$ is universal, via pursuing a Green function
comparison strategy raised in [Probab. Theory Related Fields 154 (2012)
341-407, Adv. Math. 229 (2012) 1435-1515] by Erd\H{o}s, Yau and Yin for Wigner
matrices and extended by Pillai and Yin [Ann. Appl. Probab. 24 (2014) 935-1001]
to sample covariance matrices in the null case ($\Sigma=I$). Consequently, in
the standard complex case ($\mathbb{E}x_{ij}^2=0$), combing this universality
property and the results known for Gaussian matrices obtained by El Karoui in
[Ann. Probab. 35 (2007) 663-714] (nonsingular case) and Onatski in [Ann. Appl.
Probab. 18 (2008) 470-490] (singular case), we show that after an appropriate
normalization the largest eigenvalue of $\mathcal{W}_N$ converges weakly to the
type 2 Tracy-Widom distribution $\mathrm{TW}_2$. Moreover, in the real case, we
show that when $\Sigma$ is spiked with a fixed number of subcritical spikes,
the type 1 Tracy-Widom limit $\mathrm{TW}_1$ holds for the normalized largest
eigenvalue of $\mathcal {W}_N$, which extends a result of F\'{e}ral and
P\'{e}ch\'{e} in [J. Math. Phys. 50 (2009) 073302] to the scenario of
nondiagonal $\Sigma$ and more generally distributed $X$.

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The categories of this paper are: physics
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The categories of this paper are: adap-org
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The categories of this paper are: hep-ph
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The categories of this paper are: nucl-th
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The categories of this paper are: acc-phys
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The categories of this paper are: eess
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The categories of this paper are: bayes-an
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The categories of this paper are: solv-int
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The categories of this paper are: funct-an
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The categories of this paper are: hep-lat
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The categories of this paper are: chao-dyn
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The categories of this paper are: atom-ph
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The categories of this paper are: cmp-lg
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The categories of this paper are: comp-gas
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The categories of this paper are: nlin
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The categories of this paper are: plasm-ph