Asymptotic distribution of eigenvalues of weakly dilute Wishart matrices
asymptotic distribution of eigenvaluesdilute Gaussian matricesnonlinear functional equationrandom matricesspectral theoryStieltjes transformweakly dilute Wishart matrices
Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12) Disordered systems (random Ising models, random Schrödinger operators, etc.) in equilibrium statistical mechanics (82B44)
Nonlinear equations are deduced for limits of eigenvalue distribution for dilute Gaussian and Wishart matrices of increasing dimension. The dilution means that matrices have only a small portion \(q\) of nonzero elements per each row. Suppose \(A\) is an \(N\times N\) matrix that has entries of the form \(N^{-1/2}a(x, y)\pi(x,y)\), where \(\{a(x,y)\}\) have a joint Gaussian distribution, \(x\leq y\), and expectation \[ {\mathbf E}a(x,y) a(s,t)= V(x- s)V(y- t)+ V(x- t)(y- s), \] where \(|V(x)|\) are uniformly bounded (the case of ``weakly correlated variables). The independent random \(\pi_{xy}= \pi_{yx}\) equals \(q^{-1/2}\) with probability \(q\), otherwise \(0\). Theorem 1. The portion of eigenvalues of \(A\) less or equal \(u\) weakly converges as \(N\to\infty\) and tends to a function \(\sigma_1(u, V,q)\) such that its Stieltjes transform is uniquely determined by \(V(\cdot)\) and \(q\) by a nonlinear functional equation. Suppose now that \[ B= N^{-1} \sum^m_{\mu=1} \xi_\mu(x) \xi_\mu(y)\pi(x,y), \] where \(m>1\), \(\xi\mu(x)\) are independent \(N\)-dimensional vectors having standard normal distribution, and \(\pi(x,y)\) are the same independent random variables as before. Theorem 2. The portion of eigenvalues of \(B\) less or equal \(u\) weakly converges as \(N\to\infty\) and \(m/N\to c\) and tends to a function \(\sigma_2(u,c,q)\) such that its Stieltjes transform is uniquely determined by \(c\) and \(q\) by a nonlinear functional equation. It is noteworthy that even a weak dilution removes the well-known singularity at the origin produced by a finite contribution of zero eigenvalues.
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- scientific article; zbMATH DE number 6949937 (Why is no real title available?)
- scientific article; zbMATH DE number 2243067 (Why is no real title available?)
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