Concentration and convergence rates for spectral measures of random matrices

DOI10.1007/S00440-012-0423-6zbMATH Open1291.60015arXiv1109.5997OpenAlexW2033114453MaRDI QIDQ1955835FDOQ1955835

Authors: Elizabeth Meckes, Mark W. Meckes 

Publication date: 19 June 2013

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

Abstract: The topic of this paper is the typical behavior of the spectral measures of large random matrices drawn from several ensembles of interest, including in particular matrices drawn from Haar measure on the classical Lie groups, random compressions of random Hermitian matrices, and the so-called random sum of two independent random matrices. In each case, we estimate the expected Wasserstein distance from the empirical spectral measure to a deterministic reference measure, and prove a concentration result for that distance. As a consequence we obtain almost sure convergence of the empirical spectral measures in all cases.

Full work available at URL: https://arxiv.org/abs/1109.5997

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zbMATH Keywords

Wasserstein distanceLie groupsrandom matricesspectral measuresHaar measures

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Inequalities; stochastic orderings (60E15) Analysis on real and complex Lie groups (22E30) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

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Cited In (23)

• On Poincaré and Logarithmic Sobolev Inequalities for a Class of Singular Gibbs Measures
• Convergence rate for spectral distribution of addition of random matrices
• The Wasserstein distance to the circular law
• Random matrices with prescribed eigenvalues and expectation values for random quantum states
• On almost sure convergence of the spectral distribution of a power of a random matrix to the Fuss-Catalan distribution
• Equidistribution and \(\beta\)-ensembles
• Almost sure convergence in quantum spin glasses
• Concentration of Haar measures, with an application to random matrices
• On the concentration of random multilinear forms and the universality of random block matrices
• A quantitative central limit theorem for linear statistics of random matrix eigenvalues
• The Rate of Convergence in Probability for Spectra of the GUE
• Rates of convergence for empirical spectral measures: a soft approach
• Concentration of distances in Wigner matrices
• New results on the convergence of random matrices
• Eigenvalues of random matrices from compact classical groups in Wasserstein metric
• Second-order moment convergence rates for spectral statistics of random matrices
• Large deviations for the largest eigenvalue of the sum of two random matrices
• A note on the convergence rate of the spectral distributions of large random matrices
• Convergence of the empirical spectral measure of unitary Brownian motion
• One-dimensional empirical measures, order statistics, and Kantorovich transport distances
• Spectral measures of powers of random matrices
• On Cramér-von Mises statistic for the spectral distribution of random matrices
• A sharp rate of convergence for the empirical spectral measure of a random unitary matrix

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