Large deviations for spectral measures of some spiked matrices
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Abstract: We prove large deviations principles for spectral measures of perturbed (or spiked) matrix models in the direction of an eigenvector of the perturbation. In each model under study, we provide two approaches, one of which relying on large deviations principle of unperturbed models derived in the previous work "Sum rules via large deviations" (Gamboa-Nagel-Rouault, JFA, 2016).
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Cited in
(10)- Semiclassical asymptotics of \(\mathrm {GL}_N(\mathbb C)\) tensor products and quantum random matrices
- Sum rules and large deviations for spectral matrix measures
- Spectral measures of spiked random matrices
- Limiting laws for extreme eigenvalues of large-dimensional spiked Fisher matrices with a divergent number of spikes
- Beyond classical random matrix ensembles: some results on deviation principles
- Fluctuations and large deviations of some perturbed random matrices
- Large deviations of spread measures for Gaussian matrices
- Limits of spiked random matrices. I
- Freeness of type B and conditional freeness for random matrices
- Large deviations for the largest eigenvalues and eigenvectors of spiked Gaussian random matrices
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