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Tail sums of Wishart and GUE eigenvalues beyond the bulk edge

21 April 2017
Iain M. Johnstone
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Abstract

Consider the classical Gaussian unitary ensemble of size NNN and the real Wishart ensemble WN(n,I)W_N(n,I)WN​(n,I). In the limits as N→∞N \to \inftyN→∞ and N/n→γ>0N/n \to \gamma > 0N/n→γ>0, the expected number of eigenvalues that exit the upper bulk edge is less than one, 0.031 and 0.170 respectively, the latter number being independent of γ\gammaγ. These statements are consequences of quantitative bounds on tail sums of eigenvalues outside the bulk which are established here for applications in high dimensional covariance matrix estimation.

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