Large deviations for the largest eigenvalue of matrices with variance profiles

DOI10.1214/22-EJP793MaRDI QIDQ2149936zbMATH OpenOpenAlexFDO

Authors Jonathan Husson

Publication date 27 June 2022

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

Full work available at URL https://arxiv.org/abs/2002.01010

zbMATH Keywords

large deviationslargest eigenvaluerandom matrices

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Large deviations (60F10)

Abstract: In this article we consider Wigner matrices $X_N$ with variance profiles (also called Wigner-type matrices) which are of the form $X_N(i,j)=sigma(i/N,j/N)a_{i,j}/sqrtN$ where $sigma$ is a symmetric real positive function of $[0,1{]}^2$ and $sigma$ will be taken either continuous or piecewise constant. We prove a large deviation principle for the largest eigenvalue of those matrices under the same condition of sharp sub-Gaussian bound and for some other assumptions on $sigma$. These sub-Gaussian bounds are verified for example for Gaussian variables, Rademacher variables or uniform variables on $[-sqrt3,sqrt3]$.

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Cited in

(11)

• Large deviations for the largest eigenvalue of rank one deformations of Gaussian ensembles
• Large deviations for the largest eigenvalue of sub-Gaussian matrices
• Small deviation estimates for the largest eigenvalue of Wigner matrices
• Large deviations principle for the largest eigenvalue of Wigner matrices without Gaussian tails
• Large Deviations of Extreme Eigenvalues of Random Matrices
• Large deviations of the maximum eigenvalue in Wishart random matrices
• Large deviations of the largest eigenvalue for deformed GOE/GUE random matrices via replica
• Asymptotic behavior of multiplicative spherical integrals and S-transform
• The limit of the operator norm for random matrices with a variance profile
• Large deviations for the largest eigenvalue of generalized sample covariance matrices
• Large deviations for the largest eigenvalue of Rademacher matrices

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