Convergence rate to the Tracy--Widom laws for the largest eigenvalue of sample covariance matrices

Abstract

We establish a quantitative version of the Tracy--Widom law for the largest eigenvalue of high dimensional sample covariance matrices. To be precise, we show that the fluctuations of the largest eigenvalue of a sample covariance matrix $X^{\ast }X$ converge to its Tracy--Widom limit at a rate nearly $N^{-1/3}$, where $X$ is an $M\times N$ random matrix whose entries are independent real or complex random variables, assuming that both $M$ and $N$ tend to infinity at a constant rate. This result improves the previous estimate $N^{-2/9}$ obtained by Wang [73]. Our proof relies on a Green function comparison method [27] using iterative cumulant expansions, the local laws for the Green function and asymptotic properties of the correlation kernel of the white Wishart ensemble.

arXiv admin note: text overlap with arXiv:2102.04330