Random matrices: sharp concentration of eigenvalues

DOI10.1142/S201032631350007XzbMATH Open1296.15022arXiv1201.4789OpenAlexW2963473234MaRDI QIDQ2853397FDOQ2853397

Authors: Van Vu, Terence Tao 

Publication date: 21 October 2013

Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)

Abstract: Let $W_n=frac1sqrtn{M}_n$ be a Wigner matrix whose entries have vanishing third moment, normalized so that the spectrum is concentrated in the interval $[-2,2]$. We prove a concentration bound for $N_I=N_I(W_n)$, the number of eigenvalues of $W_n$ in an interval $I$. Our result shows that $N_I$ decays exponentially with standard deviation at most $O(lo{g}^{O(1)}n)$. This is best possible up to the constant exponent in the logarithmic term. As a corollary, the bulk eigenvalues are localized to an interval of width $O(lo{g}^{O(1)}n/n)$; again, this is optimal up to the exponent. These results strengthen recent results of Erdos, Yau and Yin (under the extra assumption of vanishing third

Full work available at URL: https://arxiv.org/abs/1201.4789

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zbMATH Keywords

eigenvaluesrandom matricesconcentration of measureWigner matricesLindenberg replacement argument

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

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Cited In (21)

• Rigidity of the three-dimensional hierarchical Coulomb gas
• Dyson Brownian motion for general \(\beta\) and potential at the edge
• Rigidity and a mesoscopic central limit theorem for Dyson Brownian motion for general \(\beta\) and potentials
• Wegner Estimate and Level Repulsion for Wigner Random Matrices
• Concentration Inequalities for Statistical Inference
• Lasso guarantees for \(\beta \)-mixing heavy-tailed time series
• A necessary and sufficient condition for edge universality of Wigner matrices
• Rigidity of eigenvalues for \(\beta\) ensemble in multi-cut regime
• Random matrix theory in statistics: a review
• Local Semicircle Law under Moment Conditions: The Stieltjes Transform, Rigidity, and Delocalization
• Random matrices: localization of the eigenvalues and the necessity of four moments
• The asymptotic distribution of a single eigenvalue gap of a Wigner matrix
• Optimal local law and central limit theorem for \(\beta\)-ensembles
• Sums of GUE matrices and concentration of hives from correlation decay of eigengaps
• Stability of the matrix Dyson equation and random matrices with correlations
• Norm convergence rate for multivariate quadratic polynomials of Wigner matrices
• Large deviation theorem for zeros of polynomials and Hermitian random matrices
• Central limit theorem for partial linear eigenvalue statistics of Wigner matrices
• Ground states and hyperuniformity of the hierarchical Coulomb gas in all dimensions
• Local laws for polynomials of Wigner matrices
• Horn's problem and Harish-Chandra's integrals. Probability density functions

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