Singular value decomposition of large random matrices (for two-way classification of microarrays)

Details Singular value decomposition of large random matrices (for two-way classification of microarrays) Singular value decomposition of large random matrices (for two-way classification of microarrays)

2008-05-22

arxiv.org/abs/0805.3476v1

JMVA 101 (2010) 434-446

Mathematics

Probability

to be submitted to a special ussue of JMVA

Scientific paper

10.1016/j.jmva.2009.09.006

Asymptotic behavior of the singular value decomposition (SVD) of blown up matrices and normalized blown up contingency tables exposed to Wigner-noise is investigated.It is proved that such an m\times n matrix almost surely has a constant number of large singular values (of order \sqrt{mn}), while the rest of the singular values are of order \sqrt{m+n} as m,n\to\infty. Concentration results of Alon et al. for the eigenvalues of large symmetric random matrices are adapted to the rectangular case, and on this basis, almost sure results for the singular values as well as for the corresponding isotropic subspaces are proved. An algorithm, applicable to two-way classification of microarrays, is also given that finds the underlying block structure.

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