The Eigenvectors of Single-Spiked Complex Wishart Matrices: Finite and Asymptotic Analyses

Abstract

Let <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$\mathrm {W}\in \mathbb {C}^{n\times n}$ </tex-math></inline-formula> be a single-spiked Wishart matrix in the class <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$\mathrm {W}\sim \mathcal {CW}_{n}(m,\mathrm {I}_{n}+ \theta \mathrm {v}\mathrm {v}^{\dagger}) $ </tex-math></inline-formula> with <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$m\geq n$ </tex-math></inline-formula> , where <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">${\mathrm {I}}_{n}$ </tex-math></inline-formula> is the <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$n\times n$ </tex-math></inline-formula> identity matrix, <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$\mathrm {v}\in \mathbb {C}^{n\times 1}$ </tex-math></inline-formula> is an arbitrary vector with unit Euclidean norm, <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$\theta \geq 0$ </tex-math></inline-formula> is a non-random parameter, and <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$(\cdot)^{\dagger} $ </tex-math></inline-formula> represents the conjugate-transpose operator. Let u1 and <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">${\mathrm {u}}_{n}$ </tex-math></inline-formula> denote the eigenvectors corresponding to the smallest and the largest eigenvalues of W, respectively. This paper investigates the probability density function (p.d.f.) of the random quantity <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$Z_{\ell }^{(n)}=\left |{\mathrm {v}^{\dagger} \mathrm {u}_\ell }\right |^{2}\in (0,1)$ </tex-math></inline-formula> for <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$\ell =1,n$ </tex-math></inline-formula> . In particular, we derive a finite dimensional closed-form p.d.f. for <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$Z_{1}^{(n)}$ </tex-math></inline-formula> which is amenable to asymptotic analysis as <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$m,n$ </tex-math></inline-formula> diverges with <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$m-n$ </tex-math></inline-formula> fixed. It turns out that, in this asymptotic regime, the scaled random variable <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$nZ_{1}^{(n)}$ </tex-math></inline-formula> converges in distribution to <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$\chi ^{2}_{2}/2(1+\theta)$ </tex-math></inline-formula> , where <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$\chi _{2}^{2}$ </tex-math></inline-formula> denotes a chi-squared random variable with two degrees of freedom. This reveals that u1 can be used to infer information about the spike. On the other hand, the finite dimensional p.d.f. of <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$Z_{n}^{(n)}$ </tex-math></inline-formula> is expressed as a double integral in which the integrand contains a determinant of a square matrix of dimension <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$(n-2)$ </tex-math></inline-formula> . Although a simple solution to this double integral seems intractable, for special configurations of <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$n=2,3$ </tex-math></inline-formula> , and 4, we obtain closed-form expressions.