Pfaffian point process for the Gaussian real generalised eigenvalue problem

DOI10.1007/S00440-011-0361-8zbMATH Open1262.60008arXiv0910.2531OpenAlexW2068705582MaRDI QIDQ1930862FDOQ1930862

Authors: Anthony Mays, Peter J. Forrester 

Publication date: 14 January 2013

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: The generalised eigenvalues for a pair of $NimesN$ matrices $(X_1,X_2)$ are defined as the solutions of the equation $det(X_1-lambda{X}_2)=0$, or equivalently, for $X_2$ invertible, as the eigenvalues of $X_2^{-1}{X}_1$. We consider Gaussian real matrices $X_1,X_2$, for which the generalised eigenvalues have the rotational invariance of the half-sphere, or after a fractional linear transformation, the rotational invariance of the unit disk. In these latter variables we calculate the joint eigenvalue probability density function, the probability $p_{N,k}$ of finding $k$ real eigenvalues, the densities of real and complex eigenvalues (the latter being related to an average over characteristic polynomials), and give an explicit Pfaffian formula for the higher correlation functions $h{o}_{(k_1,k_2)}$. A limit theorem for $p_{N,k}$ is proved, and the scaled form of $h{o}_{(k_1,k_2)}$ is shown to be identical to the analogous limit for the correlations of the eigenvalues of real Gaussian matrices. We show that these correlations satisfy sum rules characteristic of the underlying two-component Coulomb gas.

Full work available at URL: https://arxiv.org/abs/0910.2531

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zbMATH Keywords

random matricesgeneralized eigenvaluesreal Ginibre ensemblePfaffian point processmatrix Cauchy distributiontwo-component Coulomb gas

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

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• A generalized plasma and interpolation between classical random matrix ensembles
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• Winding number statistics for chiral random matrices: Averaging ratios of parametric determinants in the orthogonal case
• An induced real quaternion spherical ensemble of random matrices
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• Asymptotic behavior for log-determinants of several non-Hermitian random matrices
• Real eigenvalue statistics for products of asymmetric real Gaussian matrices
• How many eigenvalues of a product of truncated orthogonal matrices are real?
• Integrable structure of Ginibre's ensemble of real random matrices and a Pfaffian integration theorem
• Spectral radii of large non-Hermitian random matrices

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