A concentration inequality and a local law for the sum of two random matrices
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Publication:1934360
DOI10.1007/S00440-011-0381-4zbMATH Open1260.60015arXiv1010.0353OpenAlexW2027872852MaRDI QIDQ1934360FDOQ1934360
Authors: Vladislav Kargin 
Publication date: 28 January 2013
Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)
Abstract: Let H=A+UBU* where A and B are two N-by-N Hermitian matrices and U is a Haar-distributed random unitary matrix, and let mu_H, mu_A, and mu_B be empirical measures of eigenvalues of matrices H, A, and B, respectively. Then, it is known (see, for example, Pastur-Vasilchuk, CMP, 2000, v.214, pp.249-286) that for large N, measure mu_H is close to the free convolution of measures mu_A and mu_B, where the free convolution is a non-linear operation on probability measures. The large deviations of the cumulative distribution function of mu_H from its expectation have been studied by Chatterjee in in JFA, 2007, v. 245, pp.379-389. In this paper we improve Chatterjee's concentration inequality and show that it holds with the rate which is quadratic in N. In addition, we prove a local law for eigenvalues of H, by showing that the normalized number of eigenvalues in an interval converges to the density of the free convolution of mu_A and mu_B provided that the interval has width (log N)^{-1/2}.
Full work available at URL: https://arxiv.org/abs/1010.0353
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Cited In (20)
- Quantitative results for banded Toeplitz matrices subject to random and deterministic perturbations
- A variant of Horn's problem and the derivative principle
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- Local single ring theorem on optimal scale
- Local stability of the free additive convolution
- An inequality for the distance between densities of free convolutions
- Subordination methods for free deconvolution
- Spectral analysis of the Gram matrix of mixture models
- Universality of the least singular value for the sum of random matrices
- A Local Limit Theorem and Delocalization of Eigenvectors for Polynomials in Two Matrices
- Sums of GUE matrices and concentration of hives from correlation decay of eigengaps
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- Tracy-Widom limit for free sum of random matrices
- Local law of addition of random matrices on optimal scale
- Concentration and convergence rates for spectral measures of random matrices
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