Spectral correlation functions of the sum of two independent complex Wishart matrices with unequal covariances

DOI10.1088/1751-8113/49/31/315201MaRDI QIDQ2816809zbMATH OpenOpenAlexFDO

Authors Tomasz Checinski, Mario Kieburg, Gernot Akemann

Publication date 25 August 2016

Published in Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1509.03466

zbMATH Keywords

random matrix theorycovariance matricesdeterminantal point processsupersymmetrybi-orthogonal ensemble

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31)

Abstract: We compute the spectral statistics of the sum H of two independent complex Wishart matrices, each of which is correlated with a different covariance matrix. Random matrix theory enjoys many applications including sums and products of random matrices. Typically ensembles with correlations among the matrix elements are much more difficult to solve. Using a combination of supersymmetry, superbosonisation and bi-orthogonal functions we are able to determine all spectral k-point density correlation functions of H for arbitrary matrix size N. In the half-degenerate case, when one of the covariance matrices is proportional to the identity, the recent results by Kumar for the joint eigenvalue distribution of H serve as our starting point. In this case the ensemble has a bi-orthogonal structure and we explicitly determine its kernel, providing its exact solution for finite N. The kernel follows from computing the expectation value of a single characteristic polynomial. In the general non-degenerate case the generating function for the k-point resolvent is determined from a supersymmetric evaluation of the expectation value of k ratios of characteristic polynomials. Numerical simulations illustrate our findings for the spectral density at finite N and we also give indications how to do the asymptotic large-N analysis.

Recommendations

• Spectral statistics for the difference of two Wishart matrices
• Eigenvalue statistics for product complex Wishart matrices
• Supersymmetry approach to Wishart correlation matrices: exact results
• Asymptotic coincidence of the statistics for degenerate and non-degenerate correlated real Wishart ensembles
• Eigenvalue density of the doubly correlated Wishart model: exact results

Cited in

(13)

• Hurwitz numbers from Feynman diagrams
• Eigenvalue density of the doubly correlated Wishart model: exact results
• Asymptotic coincidence of the statistics for degenerate and non-degenerate correlated real Wishart ensembles
• Additive matrix convolutions of Pólya ensembles and polynomial ensembles
• Joint Singular Value Distribution of Two Correlated Rectangular Gaussian Matrices and Its Application
• Multiplicative convolution of real asymmetric and real anti-symmetric matrices
• Spectral statistics for the difference of two Wishart matrices
• Singular value correlation functions for products of Wishart random matrices
• Non-white Wishart ensembles
• Relations between generalised Wishart matrices, the Muttalib-Borodin model and matrix spherical functions
• Eigenvalue statistics for product complex Wishart matrices
• Distribution and characteristic functions for correlated complex Wishart matrices
• Hurwitz numbers and products of random matrices

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• DLMF

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