Large deviations of the top eigenvalue of large Cauchy random matrices

DOI10.1088/1751-8113/46/2/022001MaRDI QIDQ4920357zbMATH OpenOpenAlexFDO

Authors Satya N. Majumdar, Dario Villamaina, P. Vivo, Grégory Schehr

Publication date 17 May 2013

Published in Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1210.5400

zbMATH Keywords

asymptotic behaviorsCauchy ensemblesDyson indexeigenvalueGaussian ensembleslarge Cauchy random matriceslarge deviationnon-Gaussian regimeorthogonal, unitary and symplectic ensemblesTracy-Widom distribution

Mathematics Subject Classification ID

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

Abstract: We compute analytically the probability density function (pdf) of the largest eigenvalue $lambd{a}_{max}$ in rotationally invariant Cauchy ensembles of $NimesN$ matrices. We consider unitary ($$), orthogonal ($$) and symplectic ($$) ensembles of such heavy-tailed random matrices. We show that a central non-Gaussian regime for $lambd{a}_{max}simmathcalO(N)$ is flanked by large deviation tails on both sides which we compute here exactly for any value of $$. By matching these tails with the central regime, we obtain the exact leading asymptotic behaviors of the pdf in the central regime, which generalizes the Tracy-Widom distribution known for Gaussian ensembles, both at small and large arguments and for any $$. Our analytical results are confirmed by numerical simulations.

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