Large deviations for a non-centered Wishart matrix
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Abstract: We investigate an additive perturbation of a complex Wishart random matrix and prove that a large deviation principle holds for the spectral measures. The rate function is associated to a vector equilibrium problem coming from logarithmic potential theory, which in our case is a quadratic map involving the logarithmic energies, or Voiculescu's entropies, of two measures in the presence of an external field and an upper constraint. The proof is based on a two type particles Coulomb gas representation for the eigenvalue distribution, which gives a new insight on why such variational problems should describe the limiting spectral distribution. This representation is available because of a Nikishin structure satisfied by the weights of the multiple orthogonal polynomials hidden in the background.
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Cited in
(11)- Large deviations for Wigner's law and Voiculescu's non-commutative entropy
- Three-parametric Marcenko-Pastur density
- Moderate deviations and central limit theorem for small perturbation Wishart processes
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- Eigenvalue Density of the Wishart Matrix and Large Deviations
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