Eigenvalue distribution of the Hadamard product of sample covariance matrices in a quadratic regime
In this note, we prove that if $X\in\mathbb{R}^{n\times d}$ and $Y\in\mathbb{R}^{n\times p}$ are two independent matrices with i.i.d entries then the empirical spectral distribution of $\frac{1}{d}XX^\top \odot \frac{1}{p}YY^\top$, where $\odot$ denotes the Hadamard product, converges to the Marchenko--Pastur distribution of shape $γ$ in the quadratic regime of dimension $\frac{n}{dp}\to γ$ and $\frac{p}{d}\to a$.
math.PR↗