Additive/multiplicative free subordination property and limiting eigenvectors of spiked additive deformations of Wigner matrices and spiked sample covariance matrices (Q376265): Difference between revisions

In the previous paper [Electron. J. Probab.~16, 1750--1792 (2011; Zbl 1245.15037)], the author et al. investigated the asymptotic behavior of the eigenvalues of generalized spiked perturbations of Hermitian Wigner \(N \times N\) matrices \(W_N\) associated to some symmetric measure satisfying a Poincaré inequality. In the present paper, the perturbation matrix \(A_N\) is a deterministic Hermitian matrix whose spectral measure converges to some probability measure \(\nu\) with compact support and such that \(A_N\) has a fixed number of fixed eigenvalues (spikes) outside the support of \(\nu\), whereas the distance between the other eigenvalues and the support of \(\nu\) uniformly goes to zero as \(N\) goes to infinity. The author describes both in the deformed Wigner matrix setting and in the sample covariance matrix one, how the eigenvectors of the deformed model associated to the eigenvalues that separate from the bulk project onto those associated to the spikes of the perturbation. It is stressed in this procedure that the subordination functions relative to the free additive or multiplicative convolution play an important part in this asymptotic behavior. The proof is the same in the additive and the multiplicative cases.