Local eigenvalue density for general MANOVA matrices

DOI10.1007/S10955-013-0807-8MaRDI QIDQ377777zbMATH OpenOpenAlexFDO

Authors László Erdős, Brendan Farrell

Publication date 7 November 2013

Published in Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1207.0031, https://authors.library.caltech.edu/41423/

zbMATH Keywords

eigenvalue densityJacobi ensemblelocal densityMANOVA random matrix

Mathematics Subject Classification ID

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

Abstract: We consider random n imes n matrices of the form (XX*+YY*)^{-1/2}YY*(XX*+YY*)^{-1/2}, where X and Y have independent entries with zero mean and variance one. These matrices are the natural generalization of the Gaussian case, which are known as MANOVA matrices and which have joint eigenvalue density given by the third classical ensemble, the Jacobi ensemble. We show that, away from the spectral edge, the eigenvalue density converges to the limiting density of the Jacobi ensemble even on the shortest possible scales of order 1/n (up to log n factors). This result is the analogue of the local Wigner semicircle law and the local Marchenko-Pastur law for general MANOVA matrices.

Review text

The authors study random \(n\times n\) matrices of the form \((XX^*+YY^*)^{-1/2}YY^*(XX^*+YY^*)^{-1/2}\), where \(X\) and \(Y\) have independent entries with zero mean and variance one. They show that, away from the spectral edge, the eigenvalue density converges to the limiting density of the Jacobi ensemble even on the shortest possible scales of order \(1/n\) (up to \(\log n\) factors). The restriction to the Gaussian case, made in most earlier work on such matrices, is not made here, and the entries of \(X\) and \(Y\) are not required to be identically distributed.

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Cited in

(5)

• Liberation of projections
• Schur-Weyl duality and the product of randomly-rotated symmetries by a unitary Brownian motion
• Densities of the extreme eigenvalues of Beta-MANOVA matrices
• Local spectrum of truncations of Kronecker products of Haar distributed unitary matrices
• The spectral edge of unitary Brownian motion

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