Large deviations for eigenvalues of sample covariance matrices, with applications to mobile communication systems

Details Large deviations for eigenvalues of sample covariance matrices, with applications to mobile communication systems Large deviations for eigenvalues of sample covariance matrices, with applications to mobile communication systems

2007-12-21

arxiv.org/abs/0712.3650v2

Advances in Applied Probability 40 nr. 4 (2008), 1048-1071

Mathematics

Probability

corrected some typing errors, and extended Theorem 3.1 to Wishart matrices; to appear in Advances of Applied Probability

Scientific paper

10.1239/aap/1231340164

We study sample covariance matrices of the form $W=\frac 1n C C^T$, where $C$ is a $k\times n$ matrix with i.i.d. mean zero entries. This is a generalization of so-called Wishart matrices, where the entries of $C$ are independent and identically distributed standard normal random variables. Such matrices arise in statistics as sample covariance matrices, and the high-dimensional case, when $k$ is large, arises in the analysis of DNA experiments. We investigate the large deviation properties of the largest and smallest eigenvalues of $W$ when either $k$ is fixed and $n\to \infty$, or $k_n\to \infty$ with $k_n=o(n/\log\log{n})$, in the case where the squares of the i.i.d. entries have finite exponential moments. Previous results, proving a.s. limits of the eigenvalues, only require finite fourth moments. Our most explicit results for $k$ large are for the case where the entries of $C$ are $\pm1$ with equal probability. We relate the large deviation rate functions of the smallest and largest eigenvalue to the rate functions for independent and identically distributed standard normal entries of $C$. This case is of particular interest, since it is related to the problem of the decoding of a signal in a code division multiple access system arising in mobile communication systems. In this example, $k$ plays the role of the number of users in the system, and $n$ is the length of the coding sequence of each of the users. Each user transmits at the same time and uses the same frequency, and the codes are used to distinguish the signals of the separate users. The results imply large deviation bounds for the probability of a bit error due to the interference of the various users.

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