The least singular value of a random square matrix is O(n^(-1/2))
classification
🧮 math.PR
math.FA
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estimatematrixrandomsingularvalueassumptionsauthorscentered
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Let A be a matrix whose entries are real i.i.d. centered random variables with unit variance and suitable moment assumptions. Then the smallest singular value of A is of order n^{-1/2} with high probability. The lower estimate of this type was proved recently by the authors; in this note we establish the matching upper estimate.
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