Limits of spiked random matrices. II

DOI10.1214/15-AOP1033zbMATH Open1396.60004arXiv1109.3704MaRDI QIDQ317482FDOQ317482

Authors: Alex Bloemendal, Balint Virag 

Publication date: 30 September 2016

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: The top eigenvalues of rank $r$ spiked real Wishart matrices and additively perturbed Gaussian orthogonal ensembles are known to exhibit a phase transition in the large size limit. We show that they have limiting distributions for near-critical perturbations, fully resolving the conjecture of Baik, Ben Arous and P'{e}ch'{e} [Duke Math. J. (2006) 133 205-235]. The starting point is a new $(2r+1)$-diagonal form that is algebraically natural to the problem; for both models it converges to a certain random Schr"{o}dinger operator on the half-line with $rimesr$ matrix-valued potential. The perturbation determines the boundary condition and the low-lying eigenvalues describe the limit, jointly as the perturbation varies in a fixed subspace. We treat the real, complex and quaternion ($$) cases simultaneously. We further characterize the limit laws in terms of a diffusion related to Dyson's Brownian motion, or alternatively a linear parabolic PDE; here $$ appears simply as a parameter. At $$, the PDE appears to reconcile with known Painlev'{e} formulas for these $r$-parameter deformations of the GUE Tracy-Widom law.

Full work available at URL: https://arxiv.org/abs/1109.3704

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zbMATH Keywords

random matrix theoryTracy-Widom distributionsBBP phase transitionfinite rank perturbationsspiked modelstochastic Airy operator

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

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Cited In (26)

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• Spiking the random matrix hard edge
• Rank 1 real Wishart spiked model
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