Large deviations for eigenvalues of sample covariance matrices, with applications to mobile communication systems

TL;DR

This paper investigates the large deviation properties of eigenvalues of sample covariance matrices, extending previous results to high-dimensional cases and specific distributions, with applications to mobile communication systems.

Contribution

It provides new large deviation rate functions for eigenvalues of sample covariance matrices with finite exponential moments, including the case of Bernoulli entries, and relates these to mobile communication decoding.

Findings

Derived large deviation bounds for eigenvalues in high dimensions.

Connected eigenvalue deviations to decoding error probabilities in mobile systems.

Extended previous results to matrices with entries having finite exponential moments.

Abstract

We study sample covariance matrices of the form $W=\frac 1n C C^T$, where $C$ is a $k\times n$ matrix with i.i.d. mean zero entries. This is a generalization of so-called Wishart matrices, where the entries of $C$ are independent and identically distributed standard normal random variables. Such matrices arise in statistics as sample covariance matrices, and the high-dimensional case, when $k$ is large, arises in the analysis of DNA experiments. We investigate the large deviation properties of the largest and smallest eigenvalues of $W$ when either $k$ is fixed and $n\to \infty$, or $k_n\to \infty$ with $k_n=o(n/\log\log{n})$, in the case where the squares of the i.i.d. entries have finite exponential moments. Previous results, proving a.s. limits of the eigenvalues, only require finite fourth moments. Our most explicit results for $k$ large are for the case where the entries of $C$ are $\pm1$ with equal probability. We relate the large deviation rate functions of the smallest and largest eigenvalue to the rate functions for independent and identically distributed standard normal entries of $C$. This case is of particular interest, since it is related to the problem of the decoding of a signal in a code division multiple access system arising in mobile communication systems. In this example, $k$ plays the role of the number of users in the system, and $n$ is the length of the coding sequence of each of the users. Each user transmits at the same time and uses the same frequency, and the codes are used to distinguish the signals of the separate users. The results imply large deviation bounds for the probability of a bit error due to the interference of the various users.