Extreme eigenvalue distributions of Jacobi ensembles: new exact representations, asymptotics and finite size corrections
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Publication:2186332
DOI10.1016/J.NUCLPHYSB.2019.114724zbMATH Open1435.60007arXiv1906.03554OpenAlexW2968413770WikidataQ127362125 ScholiaQ127362125MaRDI QIDQ2186332FDOQ2186332
Authors: Laureano Moreno-Pozas, David Morales-Jimenez, Matthew McKay 
Publication date: 9 June 2020
Published in: Nuclear Physics B (Search for Journal in Brave)
Abstract: Let and be independent complex central Wishart matrices with and degrees of freedom respectively. This paper is concerned with the extreme eigenvalue distributions of double-Wishart matrices , which are analogous to those of F matrices and those of the Jacobi unitary ensemble (JUE). Defining and , we derive new exact distribution formulas in terms of -dimensional matrix determinants, with elements involving derivatives of Legendre polynomials. This provides a convenient exact representation, while facilitating a direct large- analysis with and fixed (i.e., under the so-called "hard-edge" scaling limit); the analysis is based on new asymptotic properties of Legendre polynomials and their relation with Bessel functions that are here established. Specifically, we present limiting formulas for the smallest and largest eigenvalue distributions as in terms of - and -dimensional determinants respectively, which agrees with expectations from known universality results involving the JUE and the Laguerre unitary ensemble (LUE). We also derive finite- corrections for the asymptotic extreme eigenvalue distributions under hard-edge scaling, giving new insights on universality by comparing with corresponding correction terms derived recently for the LUE. Our derivations are based on elementary algebraic manipulations, differing from existing results on double-Wishart and related models which often involve Fredholm determinants, Painlev'e differential equations, or hypergeometric functions of matrix arguments.
Full work available at URL: https://arxiv.org/abs/1906.03554
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Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Spherical harmonics (33C55) Painlevé-type functions (33E17)
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Cited In (8)
- Asymptotic correlations with corrections for the circular Jacobi \(\beta\)-ensemble
- Quantifying dip-ramp-plateau for the Laguerre unitary ensemble structure function
- Computable structural formulas for the distribution of the \(\beta\)-Jacobi edge eigenvalues
- Finite \(N\) corrections to the limiting distribution of the smallest eigenvalue of Wishart complex matrices
- Extreme eigenvalues of random matrices from Jacobi ensembles
- Large deviations for top eigenvalues of \(\beta\)-Jacobi ensembles at scaling temperatures
- Spectral properties of the Jacobi ensembles via the Coulomb gas approach
- Rate of convergence at the hard edge for various Pólya ensembles of positive definite matrices
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