Random matrices: sharp concentration of eigenvalues

DOI10.1142/S201032631350007XzbMATH Open1296.15022OpenAlexW2963473234MaRDI QIDQ2853397FDOQ2853397

Authors Van Vu, Terence Tao

Publication date 21 October 2013

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

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

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)

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

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Cited in

(25)

• Concentration inequalities for statistical inference
• Lasso guarantees for \(\beta \)-mixing heavy-tailed time series
• Random matrices: localization of the eigenvalues and the necessity of four moments
• Rigidity of the three-dimensional hierarchical Coulomb gas
• The asymptotic distribution of a single eigenvalue gap of a Wigner matrix
• A necessary and sufficient condition for edge universality of Wigner matrices
• Ground states and hyperuniformity of the hierarchical Coulomb gas in all dimensions
• Rigidity and a mesoscopic central limit theorem for Dyson Brownian motion for general \(\beta\) and potentials
• Local semicircle law under moment conditions: the Stieltjes transform, rigidity, and delocalization
• Rigidity of eigenvalues for \(\beta\) ensemble in multi-cut regime
• Central limit theorem for partial linear eigenvalue statistics of Wigner matrices
• Random weighted projections, random quadratic forms and random eigenvectors
• Stability of the matrix Dyson equation and random matrices with correlations
• On the non-asymptotic concentration of heteroskedastic Wishart-type matrix
• Concentration of distances in Wigner matrices
• Large deviation theorem for zeros of polynomials and Hermitian random matrices
• Horn's problem and Harish-Chandra's integrals. Probability density functions
• Optimal local law and central limit theorem for \(\beta\)-ensembles
• Random matrices: tail bounds for gaps between eigenvalues
• Sums of GUE matrices and concentration of hives from correlation decay of eigengaps
• Dyson Brownian motion for general \(\beta\) and potential at the edge
• Local laws for polynomials of Wigner matrices
• Norm convergence rate for multivariate quadratic polynomials of Wigner matrices
• Wegner Estimate and Level Repulsion for Wigner Random Matrices
• Random matrix theory in statistics: a review

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