Localization and delocalization for heavy tailed band matrices

DOI10.1214/13-AIHP562MaRDI QIDQ479720zbMATH OpenOpenAlexFDO

Authors Florent Benaych-Georges, S. Péché

Publication date 5 December 2014

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1210.7677, https://projecteuclid.org/euclid.aihp/1413555505

zbMATH Keywords

phase transitionPoisson processeigenvalueeigenvectorrandom matricesband matricesheavy tailed random variables

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

Abstract: We consider some random band matrices with band-width $N^{m}u$ whose entries are independent random variables with distribution tail in $x^{-alpha}$. We consider the largest eigenvalues and the associated eigenvectors and prove the following phase transition. On the one hand, when $alphaextless2(1+m{u}^{-1})$, the largest eigenvalues have order $N^{(1+mu)/alpha}$, are asymptotically distributed as a Poisson process and their associated eigenvectors are essentially carried by two coordinates (this phenomenon has already been remarked by Soshnikov for full matrices with heavy tailed entries,i.e. when $alphaextless2$, and by Auffinger, Ben Arous and P{'e}ch{'e} when $alphaextless4$). On the other hand, when $alphaextgreater2(1+m{u}^{-1})$, the largest eigenvalues have order $N^{mu/2}$ and most eigenvectors of the matrix are delocalized, i.e. approximately uniformly distributed on their $N$ coordinates.

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Cited in

(21)

• Eigenvector localization for random band matrices with power law band width
• Largest eigenvalues of sparse inhomogeneous Erdős-Rényi graphs
• Weak convergence of the empirical spectral distribution of high-dimensional band sample covariance matrices
• Large sample autocovariance matrices of linear processes with heavy tails
• More limiting distributions for eigenvalues of Wigner matrices
• Central limit theorems for linear statistics of heavy tailed random matrices
• Localization and delocalization of eigenvectors for heavy-tailed random matrices
• Extreme eigenvalue statistics of \(m\)-dependent heavy-tailed matrices
• Multifractality of eigenstates in the delocalized non-ergodic phase of some random matrix models: Wigner-Weisskopf approach
• Quantum diffusion and delocalization for band matrices with general distribution
• Eigenvectors of random matrices: A survey
• No-gaps delocalization for general random matrices
• Random matrix theory for heavy-tailed time series
• Extreme eigenvalues of sparse, heavy tailed random matrices
• Fluctuations of linear statistics of half-heavy-tailed random matrices
• Localization transition in random Lévy matrices: multifractality of eigenvectors in the localized phase and at criticality
• Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case
• Delocalization of eigenvectors of random matrices with independent entries
• Finite rank perturbations of heavy-tailed Wigner matrices
• Universality for a global property of the eigenvectors of Wigner matrices
• Delocalization at small energy for heavy-tailed random matrices

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