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

DOI10.1007/S10955-009-9854-6MaRDI QIDQ1047149zbMATHOpenAlexFDO

Authors A. Nikeghbali, Felix Rubin, Joseph Najnudel

Publication date 4 January 2010

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

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

zbMATH Keywords

random matriceslimit theoremsdeterminantal processesgeneralized Cauchy ensemblePainlevé equations

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)

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 $(1/N)$.

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Cited in

(6)

• Ewens measures on compact groups and hypergeometric kernels
• On the largest singular values of random matrices with independent Cauchy entries
• Moments of generalized Cauchy random matrices and continuous-Hahn polynomials
• Index distribution of Cauchy random matrices
• Sum rules and large deviations for spectral measures on the unit circle
• Large deviations of the top eigenvalue of large Cauchy random matrices

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