A phase transition for the limiting spectral density of random matrices (Q388858): Difference between revisions
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Property / author: Matthias Loewe / rank | |||
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Property / author: Matthias Loewe / rank | |||
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The authors study the spectral distribution of certain symmetric random matrices with correlated entries. The entries of the random matrices are assumed to be (in general, dependent) random variables with zero mean, unit variance and uniformly bounded moments of arbitrary order. The diagonals of these matrices are assumed to be stochastically independent random vectors. However, any two elements which are on the same diagonal are assumed to have correlation \(c_n\) depending only on \(n\). It is assumed that the limit \(c:=\lim_{n\to\infty} c_n\) exists. Under these assumptions it is shown that the empirical spectral distribution converges weakly to a non-random probability distribution \(\nu_c\) which does not depend on the distribution of the entries of the matrix. The proof relies on the moment method. The limiting distribution \(\nu_c\) is characterized as a certain free convolution of the Wigner semicircle law with the limiting spectral distribution of the Toeplitz random matrices derived by \textit{W. Bryc} et al. [Ann. Probab. 34, No. 1, 1--38 (2006; Zbl 1094.15009)]. | |||
Property / review text: The authors study the spectral distribution of certain symmetric random matrices with correlated entries. The entries of the random matrices are assumed to be (in general, dependent) random variables with zero mean, unit variance and uniformly bounded moments of arbitrary order. The diagonals of these matrices are assumed to be stochastically independent random vectors. However, any two elements which are on the same diagonal are assumed to have correlation \(c_n\) depending only on \(n\). It is assumed that the limit \(c:=\lim_{n\to\infty} c_n\) exists. Under these assumptions it is shown that the empirical spectral distribution converges weakly to a non-random probability distribution \(\nu_c\) which does not depend on the distribution of the entries of the matrix. The proof relies on the moment method. The limiting distribution \(\nu_c\) is characterized as a certain free convolution of the Wigner semicircle law with the limiting spectral distribution of the Toeplitz random matrices derived by \textit{W. Bryc} et al. [Ann. Probab. 34, No. 1, 1--38 (2006; Zbl 1094.15009)]. / rank | |||
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Property / reviewed by: Zakhar Kabluchko / rank | |||
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Property / Mathematics Subject Classification ID: 60B20 / rank | |||
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Property / Mathematics Subject Classification ID: 60F15 / rank | |||
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Property / Mathematics Subject Classification ID: 60K35 / rank | |||
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Property / Mathematics Subject Classification ID: 46L54 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6247186 / rank | |||
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random matrices | |||
Property / zbMATH Keywords: random matrices / rank | |||
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dependent random variables | |||
Property / zbMATH Keywords: dependent random variables / rank | |||
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Toeplitz matrices | |||
Property / zbMATH Keywords: Toeplitz matrices / rank | |||
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semicircle law | |||
Property / zbMATH Keywords: semicircle law / rank | |||
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Curie-Weiss model | |||
Property / zbMATH Keywords: Curie-Weiss model / rank | |||
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Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / arXiv ID: 1205.6640 / rank | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 14:05, 18 April 2024
scientific article
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English | A phase transition for the limiting spectral density of random matrices |
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A phase transition for the limiting spectral density of random matrices (English)
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17 January 2014
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The authors study the spectral distribution of certain symmetric random matrices with correlated entries. The entries of the random matrices are assumed to be (in general, dependent) random variables with zero mean, unit variance and uniformly bounded moments of arbitrary order. The diagonals of these matrices are assumed to be stochastically independent random vectors. However, any two elements which are on the same diagonal are assumed to have correlation \(c_n\) depending only on \(n\). It is assumed that the limit \(c:=\lim_{n\to\infty} c_n\) exists. Under these assumptions it is shown that the empirical spectral distribution converges weakly to a non-random probability distribution \(\nu_c\) which does not depend on the distribution of the entries of the matrix. The proof relies on the moment method. The limiting distribution \(\nu_c\) is characterized as a certain free convolution of the Wigner semicircle law with the limiting spectral distribution of the Toeplitz random matrices derived by \textit{W. Bryc} et al. [Ann. Probab. 34, No. 1, 1--38 (2006; Zbl 1094.15009)].
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random matrices
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dependent random variables
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Toeplitz matrices
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semicircle law
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Curie-Weiss model
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