Large deviations of the extreme eigenvalues of random deformations of matrices

DOI10.1007/S00440-011-0382-3MaRDI QIDQ1934364zbMATH OpenOpenAlexFDO

Authors Florent Benaych-Georges, Alice Guionnet, Mylène Maida

Publication date 28 January 2013

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1009.0135, http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.765.3806

zbMATH Keywords

large deviationsspectral measurerandom matricesextreme eigenvalues

Mathematics Subject Classification ID

Large deviations (60F10) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

Abstract: Consider a real diagonal deterministic matrix $X_n$ of size $n$ with spectral measure converging to a compactly supported probability measure. We perturb this matrix by adding a random finite rank matrix, with delocalized eigenvectors. We show that the joint law of the extreme eigenvalues of the perturbed model satisfies a large deviation principle in the scale $n$, with a good rate function given by a variational formula. We tackle both cases when the extreme eigenvalues of $X_n$ converge to the edges of the support of the limiting measure and when we allow some eigenvalues of $X_n$, that we call outliers, to converge out of the bulk. We can also generalise our results to the case when $X_n$ is random, with law proportional to $e^{-nTraceV(X)}udX,$ for $V$ growing fast enough at infinity and any perturbation of finite rank.

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Cited in

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