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 $Y_{ij}^{n}=\frac{σ(i/N,j/n)}{\sqrt{n}} X_{ij}^{n}$, the $X_{ij}^{n}$ being centered i.i.d. and $σ:[0,1]^2 \to (0,\infty)$ being a continuous function called a variance profile. Consider now a deterministic $N\times n$ matrix $Λ_n=(Λ_{ij}^{n})$ whose non diagonal elements are zero. Denote by $Σ_n$ the non-centered matrix $Y_n + Λ_n$. Then under the assumption that $\lim_{n\to \infty} \frac Nn =c>0$ and $$ \frac{1}{N} \sum_{i=1}^{N} δ_{(\frac{i}{N}, (Λ_{ii}^n)^2)} \xrightarrow[n\to \infty]{} H(dx,dλ), $$ where $H$ is a probability measure, it is proven that the empirical distribution of the eigenvalues of $ Σ_n Σ_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.