Large deviations of spread measures for Gaussian matrices

DOI10.1088/1742-5468/2016/04/043306MaRDI QIDQ3302617zbMATH OpenOpenAlexFDO

Authors Fabio Deelan Cunden, P. Vivo

Publication date 11 August 2020

Published in Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://arxiv.org/abs/1403.4494

Mathematics Subject Classification ID

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

Abstract: For a large $nimesm$ Gaussian matrix, we compute the joint statistics, including large deviation tails, of generalized and total variance - the scaled log-determinant $H$ and trace $T$ of the corresponding $nimesn$ covariance matrix. Using a Coulomb gas technique, we find that the Laplace transform of their joint distribution $mathcal{P}_n(h,t)$ decays for large $n,m$ (with $c=m/ngeq1$ fixed) as $$, where $$ is the Dyson index of the ensemble and $J(s,w)$ is a $$-independent large deviation function, which we compute exactly for any $c$. The corresponding large deviation functions in real space are worked out and checked with extensive numerical simulations. The results are complemented with a finite $n,m$ treatment based on the Laguerre-Selberg integral. The statistics of atypically small log-determinants is shown to be driven by the split-off of the smallest eigenvalue, leading to an abrupt change in the large deviation speed.

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