Universality of the least singular value for sparse random matrices

DOI10.1214/19-EJP269MaRDI QIDQ2631876zbMATHOpenAlexFDO

Authors Ziliang Che, Patrick Lopatto

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/1711.00580

zbMATH Keywords

random matrix theorysingular valueuniversalitysparse

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

Abstract: We study the distribution of the least singular value associated to an ensemble of sparse random matrices. Our motivating example is the ensemble of $NimesN$ matrices whose entries are chosen independently from a Bernoulli distribution with parameter $p$. These matrices represent the adjacency matrices of random ErdH{o}s--R'enyi digraphs and are sparse when $pll1$. We prove that in the regime $pNgg1$, the distribution of the least singular value is universal in the sense that it is independent of $p$ and equal to the distribution of the least singular value of a Gaussian matrix ensemble. We also prove the universality of the joint distribution of multiple small singular values. Our methods extend to matrix ensembles whose entries are chosen from arbitrary distributions that may be correlated, complex valued, and have unequal variances.

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Cited in

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• Quantitative universality for the largest eigenvalue of sample covariance matrices
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