Anisotropic local law for non-separable sample covariance matrices

Zhou Fan, Renyuan Ma, Elliot Paquette +1

We establish local laws for sample covariance matrices $K = N^{-1}\sum_{i=1}^N \g_i\g_i^*$ where the random vectors $\g_1, \ldots, \g_N \in \R^n$ are independent with common covari…