Universality of the least singular value for the sum of random matrices

DOI10.1214/21-EJP603MaRDI QIDQ2042837zbMATH OpenOpenAlexFDO

Authors Ziliang Che, Patrick Lopatto

Publication date 21 July 2021

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1908.04060

zbMATH Keywords

random matrix theorysingular valueuniversalitysparse

Mathematics Subject Classification ID

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

Abstract: We consider the least singular value of $M=R^{\ast }XT+U^{\ast }YV$, where $R,T,U,V$ are independent Haar-distributed unitary matrices and $X,Y$ are deterministic diagonal matrices. Under weak conditions on $X$ and $Y$, we show that the limiting distribution of the least singular value of $M$, suitably rescaled, is the same as the limiting distribution for the least singular value of a matrix of i.i.d. gaussian random variables. Our proof is based on the dynamical method used by Che and Landon to study the local spectral statistics of sums of Hermitian matrices.

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Cited in

(3)

• Universality and least singular values of random matrix products: a simplified approach
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• Central Limit Theorem for Linear Eigenvalue Statistics of <scp>Non‐Hermitian</scp> Random Matrices

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