The empirical distribution of the eigenvalues of a Gram matrix with a given variance profile

Abstract

Consider a $N\times n$ random matrix $Y_n=(Y_{ij}^n)$ where the entries are given by $Y_{ij}^n=\frac{\sigma (i/N,j/n)}{\sqrt{n}}{X}_{ij}^n$, the $X_{ij}^n$ being centered i.i.d. and $\sigma :[0,1{]}^2\to (0,\infty )$ being a continuous function called a variance profile. Consider now a deterministic $N\times n$ matrix ${\Lambda }_n=({\Lambda }_{ij}^n)$ whose non diagonal elements are zero. Denote by ${\Sigma }_n$ the non-centered matrix $Y_n+{\Lambda }_n$. Then under the assumption that ${\lim }_{n\to \infty }\frac{N}{n}=c>0$ and $$\frac{1}{N}\sum _{i=1}^N{\delta }_{(\frac{i}{N},({\Lambda }_{ii}^n{)}^2)}\underset{n\to \infty }{\to }H(dx,d\lambda ),$$ where $H$ is a probability measure, it is proven that the empirical distribution of the eigenvalues of ${\Sigma }_n{\Sigma }_n^T$ converges almost surely in distribution to a non random probability measure. This measure is characterized in terms of its Stieltjes transform, which is obtained with the help of an auxiliary system of equations. This kind of results is of interest in the field of wireless communication.

25 pages, revised version. Assumption (A2) has been relaxed