Asymptotic behavior of the maximum and minimum singular value of random Vandermonde matrices (Q471516)

The authors examine various statistical distributions in connection with random Vandermonde matrices and their extension to \(d\)-dimensional phase distributions. Upper and lower bound asymptotics for the maximum singular value are found to be \(O(\log ^{1/2} N^d)\) and \(\Omega\left((\log N^d /(\log \log N^d))^{1/2}\right)\), respectively, where \(N\) is the dimension of the matrix, generalizing the results of \textit{G. H. Tucci} and \textit{P. A. Whiting} [``Eigenvalue results for large scale random Vandermonde matrices with unit complex entries'', IEEE Trans. Inf. Theory 57, No. 6, 3938--3954 (2011; \url{doi:10.1109/TIT.2011.2137110})]. They further study the behavior of the minimum singular value of these random matrices. In particular, they prove that the minimum singular value is at most \(N\exp (-C\sqrt{N})\) with high probability where \(C\) is a constant independent of \(N\). The constant \(C\) is determined explicitly. The main result is obtained in two different ways. One approach uses techniques from stochastic processes and, in particular, a construction related to the Brownian bridge. The other one is a more direct analytical approach involving combinatorics and complex analysis. As a consequence, the authors obtain a lower bound for the maximum absolute value of a random complex polynomial on the unit circle, which may be of independent mathematical interest. Lastly, for each sequence of positive integers \(\{k_p\}_{p=1}^\infty\), they present a generalized version of the previously discussed matrices. The classical random Vandermonde matrix corresponds to the sequence \(k_p = p-1\). They find a combinatorial formula for their moments and show that the limit eigenvalue distribution converges to a probability measure supported on \([0,\infty)\). Finally, they show that for the sequence \(k_p =2^p\) the limit eigenvalue distribution is the famous Marchenko-Pastur distribution.