Anisotropic local laws for random matrices (Q682801)

The authors develop a new method for deriving local laws for a large class of random matrices. The method is applicable to many matrix models built from sums and products of deterministic or independent random matrices. In particular, it may be used to obtain local laws for matrix ensembles that are anisotropic in the sense that their resolvents are well approximated by deterministic matrices that are not multiples of the identity. The method is presented for sample covariance matrices of the form \(Q:=TXX^*T^*\), where \(T\) is deterministic and \(X\) is random with independent entries. It is shown that with high probability the resolvent of \(Q\) is close to a deterministic matrix, with an optimal error bound and down to optimal spectral scales. As an application, they prove the edge universality of \(Q\) by establishing the Tracy-Widom-Airy statistics of the eigenvalues of \(Q\) near the soft edges. Further applications include the distribution of the eigenvectors and an analysis of the outliers and BBP-type phase transitions in finite-rank deformations. They also apply this method to Wigner matrices whose entries have arbitrary expectation.