Scaled limit and rate of convergence for the largest eigenvalue from the generalized Cauchy random matrix ensemble

DOI10.1007/S10955-009-9854-6zbMATH Open1181.82027arXiv0901.4800OpenAlexW3103396328MaRDI QIDQ1047149FDOQ1047149

A. Nikeghbali, Joseph Najnudel, Felix Rubin

Publication date: 4 January 2010

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

Abstract: In this paper, we are interested in the asymptotic properties for the largest eigenvalue of the Hermitian random matrix ensemble, called the Generalized Cauchy ensemble $GCy$, whose eigenvalues PDF is given by ${\displaystyle }$ extrm{const}cdotprod_{1leq j<kleq N}(x_j-x_k)^2prod_{j=1}^N (1+ix_j)^{-s-N}(1-ix_j)^{-�ar{s}-N}dx_j,${\displaystyle }$where $s$ is a complex number such that $Re(s)>-1/2$ and where $N$ is the size of the matrix ensemble. Using results by Borodin and Olshanski cite{Borodin-Olshanski}, we first prove that for this ensemble, the largest eigenvalue divided by $N$ converges in law to some probability distribution for all $s$ such that $Re(s)>-1/2$. Using results by Forrester and Witte cite{Forrester-Witte2} on the distribution of the largest eigenvalue for fixed $N$, we also express the limiting probability distribution in terms of some non-linear second order differential equation. Eventually, we show that the convergence of the probability distribution function of the re-scaled largest eigenvalue to the limiting one is at least of order $(1/N)$.

Full work available at URL: https://arxiv.org/abs/0901.4800

zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Painlev%EF%BF%BD%EF%BF%BD+equations&go=Go Painlev�� equations]random matriceslimit theoremsdeterminantal processesgeneralized Cauchy ensemble

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31)

Cites Work

• Title not available (Why is that?)
• On the distribution of the largest eigenvalue in principal components analysis
• Level-spacing distributions and the Airy kernel
• Classical skew orthogonal polynomials and random matrices
• Density matrix of an impenetrable Bose gas and the fifth Painlevé transcendent
• Level spacing distributions and the Bessel kernel
• Application of theτ-function theory of Painlevé equations to random matrices:P_VI, the JUE, CyUE, cJUE and scaled limits
• The largest eigenvalue of small rank perturbations of Hermitian random matrices
• Fredholm determinants, differential equations and matrix models
• Edgeworth expansion of the largest eigenvalue distribution function of GUE and LUE
• Infinite random matrices and ergodic measures
• Universality at the edge of the spectrum in Wigner random matrices.
• Painlevé Classification of a Class of Differential Equations of the Second Order and Second Degree
• Fredholm determinants, Jimbo‐Miwa‐Ueno τ‐functions, and representation theory
• A rate of convergence result for the largest eigenvalue of complex white Wishart matrices
• Asymptotic corrections to the eigenvalue density of the GUE and LUE
• Poisson Statistics for the Largest Eigenvalues in Random Matrix Ensembles
• Gap probabilities in the finite and scaled Cauchy random matrix ensembles
• The characteristic polynomial on compact groups with Haar measure: Some equalities in law
• Circular Jacobi Ensembles and Deformed Verblunsky Coefficients
• Random matrix theory and the sixth Painlevé equation
• A method of integration over matrix variables. III
• On the universality of the level spacing distribution for some ensembles of random matrices

Cited In (3)

• Ewens Measures on Compact Groups and Hypergeometric Kernels
• Moments of generalized Cauchy random matrices and continuous-Hahn polynomials
• Sum rules and large deviations for spectral measures on the unit circle

This page was built for publication: Scaled limit and rate of convergence for the largest eigenvalue from the generalized Cauchy random matrix ensemble

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1047149)