Edge universality of correlated Gaussians

DOI10.1214/19-EJP273zbMATH Open1421.15009arXiv1712.04889OpenAlexW2941394838MaRDI QIDQ2631870FDOQ2631870

Authors: Arka Adhikari, Ziliang Che 

Publication date: 16 May 2019

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

Abstract: We consider a Gaussian random matrix with correlated entries that have a power law decay of order $d>2$ and prove universality for the extreme eigenvalues. A local law is proved using the self-consistent equation combined with a decomposition of the matrix. This local law along with concentration of eigenvalues around the edge allows us to get an bound for extreme eigenvalues. Using a recent result of the Dyson-Brownian motion, we prove universality of extreme eigenvalues.

Full work available at URL: https://arxiv.org/abs/1712.04889

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zbMATH Keywords

correlationrandom matrixuniversality

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Disordered systems (random Ising models, random Schrödinger operators, etc.) in equilibrium statistical mechanics (82B44)

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Cited In (7)

• Dyson Brownian motion for general \(\beta\) and potential at the edge
• Local spectral statistics of Gaussian matrices with correlated entries
• On the operator norm of a Hermitian random matrix with correlated entries
• Universal eigenvalue statistics for dynamically defined matrices
• Edge universality of correlation matrices
• Eigenvalues for the minors of Wigner matrices
• Correlated random matrices: band rigidity and edge universality

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