Top eigenpair statistics of diluted Wishart matrices

Abstract

Using the replica method, we compute the statistics of the top eigenpair of diluted covariance matrices of the form $\mathbf{J}={\mathbf{X}}^T\mathbf{X}$, where $\mathbf{X}$ is a $N\times M$ sparse data matrix, in the limit of large $N,M$ with fixed ratio and a bounded number of nonzero entries. We allow for random non-zero weights, provided they lead to an isolated largest eigenvalue. By formulating the problem as the optimisation of a quadratic Hamiltonian constrained to the $N$-sphere at low temperatures, we derive a set of recursive distributional equations for auxiliary probability density functions, which can be efficiently solved using a population dynamics algorithm. The average largest eigenvalue is identified with a Lagrange parameter that governs the convergence of the algorithm, and the resulting stable populations are then used to evaluate the density of the top eigenvector's components. We find excellent agreement between our analytical results and numerical results obtained from direct diagonalisation.

34 pages, 5 figures, accepted for publication in Journal of Physics A

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• The Wishart--Rosenzweig--Porter random matrix ensemble