Large deviations for random matrices

MaRDI QIDQ2787507zbMATH OpenFDO

Authors Sourav Chatterjee, S. R. S. Varadhan

Publication date 4 March 2016

Published in Communications on Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1106.4366

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Large deviations (60F10)

Abstract: We prove a large deviation result for a random symmetric n x n matrix with independent identically distributed entries to have a few eigenvalues of size n. If the spectrum S survives when the matrix is rescaled by a factor of n, it can only be the eigenvalues of a Hilbert-Schmidt kernel k(x,y) on [0,1] x [0,1]. The rate function for k is $I(k)=1/2inth(k(x,y)dxdy$ where h is the Cramer rate function for the common distribution of the entries that is assumed to have a tail decaying faster than any Gaussian. The large deviation for S is then obtained by contraction.

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