It's located between page 648 and 651; the scene is on November 13th, YDAU - Kate Gompert & Geoffrey Day discuss It. Day tells Gombert that he had also experienced depressive phenomena in his own way. At first sceptic, Kate increasingly pays attention to his tale, as it is a very similar to how she expresses her suicidal feelings.
First I thought about Lovecraft due to Day's terms along with first-person style:
As the two vibrations combined, it was as if a large dark billowing shape came billowing out of some corner in my mind [...]
Katherine, Kate, it was total horror. it was all horror everywhere, distilled and given form. It rose in me, out of me, summoned somehow by the odd confluence of the fan and those notes. It rose and grew larger and became engulfing and more horrible than I shall ever have the power to convey. I dropped my violin and ran from the room. [...]
It was a bit like a sail, or a small part of the wing of something far too large to be seen in totality. It was total psychic horror: death, decay, dissolution, cold empty black malevolent lonely voided space. It was the worst thing I have ever confronted.
Furthermore, this horror is conveyed by a specific vibration of Day's violin mixed with the particular sound of a fan's blow's resonance in the window's glass. This reminds of Lovecraft's short story, The Music of Erich Zann.
Finally, in this scene we know that Day has attended Brown University in Providence RI - Lovecraft's beloved homeland, where he spent most of his life.
As I progress in Wallace's epic 1070-page prose, he continues to impress with his multitudinous display of styles and themes. I'd never guess that Lovecraft would be referenced, though it's pretty clear there are no unreasonable expectations for what will come next in this familiarly weird novel - Infinite Jest.