Inhomogeneous circular law for correlated matrices

DOI10.1016/J.JFA.2021.109120MaRDI QIDQ2039840zbMATH OpenOpenAlexFDO

Authors Johannes Alt, Torben Krüger

Publication date 5 July 2021

Published in Journal of Functional Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2005.13533

zbMATH Keywords

Brown measuredelocalisationlocal lawnon-Hermitian random matrix

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Matrix equations and identities (15A24) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

Abstract: We consider non-Hermitian random matrices $Xinmathbb{C}^{nimesn}$ with general decaying correlations between their entries. For large $n$, the empirical spectral distribution is well approximated by a deterministic density, expressed in terms of the solution to a system of two coupled non-linear $nimesn$ matrix equations. This density is interpreted as the Brown measure of a linear combination of free circular elements with matrix coefficients on a non-commutative probability space. It is radially symmetric, real analytic in the radial variable and strictly positive on a disk around the origin in the complex plane with a discontinuous drop to zero at the edge. The radius of the disk is given explicitly in terms of the covariances of the entries of $X$. We show convergence down to local spectral scales just slightly above the typical eigenvalue spacing with an optimal rate of convergence.

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