Edge universality of correlated Gaussians

DOI10.1214/19-EJP273MaRDI QIDQ2631870zbMATH OpenOpenAlexFDO

Authors Arka Adhikari, Ziliang Che

Publication date 16 May 2019

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

Full work available at URL https://arxiv.org/abs/1712.04889, https://projecteuclid.org/euclid.ejp/1556179228

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)

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.

Recommendations

• Edge universality of correlation matrices
• Edge universality for orthogonal ensembles of random matrices
• Correlated random matrices: band rigidity and edge universality
• Local spectral statistics of Gaussian matrices with correlated entries
• Universality of random matrices with correlated entries

Cites work

• A Dynamical Approach to Random Matrix Theory
• A comment on the Wigner-Dyson-Mehta bulk universality conjecture for Wigner matrices
• Bulk universality for Wigner matrices
• Convergence of local statistics of Dyson Brownian motion
• High-dimensional statistics. A non-asymptotic viewpoint
• Local spectral statistics of Gaussian matrices with correlated entries
• Propriétés des matrices ``bien localisées près de leur diagonale et quelques applications. (Properties of matrices ``well localized near the diagonal and some applications)
• Quadratic vector equations on complex upper half-plane
• Random matrices with slow correlation decay
• Random matrices: Universality of local eigenvalue statistics up to the edge
• Random matrices: universality of local eigenvalue statistics
• Rigidity of eigenvalues of generalized Wigner matrices
• Spectral statistics of Erdős-Rényi graphs II: eigenvalue spacing and the extreme eigenvalues
• Stability of the matrix Dyson equation and random matrices with correlations
• The local semicircle law for a general class of random matrices
• Universality for general Wigner-type matrices
• Universality for generalized Wigner matrices with Bernoulli distribution
• Universality of random matrices with correlated entries

Cited in

(7)

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

This page was built for publication: Edge universality of correlated Gaussians

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2631870)