Tracy-Widom distributions for the Gaussian orthogonal and symplectic ensembles revisited: a skew-orthogonal polynomials approach

DOI10.1007/S10955-020-02695-WzbMATH Open1469.60034arXiv2007.14597OpenAlexW3129184147MaRDI QIDQ2227191FDOQ2227191

Authors: Anthony Mays, Grégory Schehr, Anita K. Ponsaing 

Publication date: 10 February 2021

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Abstract: We study the distribution of the largest eigenvalue in the "Pfaffian" classical ensembles of random matrix theory, namely in the Gaussian orthogonal (GOE) and Gaussian symplectic (GSE) ensembles, using semi-classical skew-orthogonal polynomials, in analogue to the approach of Nadal and Majumdar (NM) for the Gaussian unitary ensemble (GUE). Generalizing the techniques of Adler, Forrester, Nagao and van Moerbeke, and using "overlapping Pfaffian" identities due to Knuth, we explicitly construct these semi-classical skew-orthogonal polynomials in terms of the semi-classical orthogonal polynomials studied by NM in the case of the GUE. With these polynomials we obtain expressions for the cumulative distribution functions of the largest eigenvalue in the GOE and the GSE. Further, by performing asymptotic analysis of these skew-orthogonal polynomials in the limit of large matrix size, we obtain an alternative derivation of the Tracy-Widom distributions for GOE and GSE. This asymptotic analysis relies on a certain Pfaffian identity, the proof of which employs the characterization of Pfaffians in terms of perfect matchings and link diagrams.

Full work available at URL: https://arxiv.org/abs/2007.14597

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zbMATH Keywords

random matricesTracy-Widom distributionsextreme value statisticsskew-orthogonal polynomials

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Other special orthogonal polynomials and functions (33C47)

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Cited In (5)

• Riemannian Gaussian distributions, random matrix ensembles and diffusion kernels
• Painlevé representation of Tracy-Widom\(_\beta\) distribution for \(\beta=6\)
• Computing the Tracy-Widom distribution for arbitrary \(\beta>0\)
• Finite size effects and loss of self-averageness in the relaxational dynamics of the spherical Sherrington–Kirkpatrick model
• A simple derivation of the Tracy-Widom distribution of the maximal eigenvalue of a Gaussian unitary random matrix

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