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arxiv: 0805.3407 · v1 · pith:PH4EXJQWnew · submitted 2008-05-22 · 🧮 math.PR · math.FA

The least singular value of a random square matrix is O(n^(-1/2))

classification 🧮 math.PR math.FA
keywords 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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