Derive the Marchenko–Pastur law via the Stieltjes transform
ProofOlympiad / Extreme⏱ 1 dayRandom Matricesmarchenko-pasturstieltjes transformself-consistent equationresolvent
Problem
Let be with i.i.d. entries of mean and variance , and let with . Derive the limiting spectral density
by: defining the Stieltjes transform, deriving the self-consistent equation it satisfies in the limit, solving it, and inverting. State clearly which step is the one requiring concentration (and which this derivation therefore assumes).
Write a complete argument. Every inequality you use should be one you could state precisely.
Hints
Hints — 0 of 3 revealed
Solution
Opening this before you have a real attempt on paper is the fastest way to feel like you understand something you cannot reproduce.
Related problems
All problems| Solved | Problem | Field | Type | Difficulty | Time |
|---|---|---|---|---|---|
| Marchenko–Pastur edges and conditioning | Random Matrices | Numerical | 15 min | ||
| Simulate the Marchenko–Pastur law run | Random Matrices | Coding | 1 hour | ||
| The interpolation peak is a conditioning phenomenon | Learning Theory | Proof | 30 min | ||
| The Marchenko–Pastur density integrates to one | Random Matrices | Proof | 1 hour | ||
| Why ordinary least squares degrades as p approaches n | Random Matrices | Proof | 30 min |