Limits of spiked random matrices. II

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

Authors Alex Bloemendal, Balint Virag 

Publication date 30 September 2016

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

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

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)

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.

Recommendations

• Limits of spiked random matrices. I
• A note on spiked Wishart matrices
• The eigenvalues and eigenvectors of finite, low rank perturbations of large random matrices
• Spiking the random matrix hard edge
• Rank 1 real Wishart spiked model

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Cited In (26)

• Edge of spiked beta ensembles, stochastic Airy semigroups and reflected Brownian motions
• Spiking the random matrix hard edge
• Rank 1 real Wishart spiked model
• Limits of spiked random matrices. I
• ``Quantizations of isomonodromic Hamilton system \(H^{\frac{7}{2}+1} \)
• Solutions to analogues of non-stationary Schrödinger equations defined by isomonodromic Hamilton system \(H^{2+1+1+1}\)
• Rank 1 perturbations in random matrix theory — A review of exact results
• Phase transitions for products of characteristic polynomials under Dyson Brownian motion
• The eigenvalues and eigenvectors of finite, low rank perturbations of large random matrices
• On the principal components of sample covariance matrices
• Limiting laws for extreme eigenvalues of large-dimensional spiked Fisher matrices with a divergent number of spikes
• Phase transition of eigenvalues in deformed Ginibre ensembles. II: GinSE
• Edge rigidity of Dyson Brownian motion with general initial data
• Statistical inference for principal components of spiked covariance matrices
• Painlevé II in random matrix theory and related fields
• Random matrices in non-confining potentials
• Extremal eigenvalues of sample covariance matrices with general population
• Low-temperature random matrix theory at the soft edge
• A note on spiked Wishart matrices
• On the largest eigenvalue of a Hermitian random matrix model with spiked external source. II: Higher rank cases
• Eigenvector distribution in the critical regime of BBP transition
• Airy process with wanderers, KPZ fluctuations, and a deformation of the Tracy-Widom GOE distribution
• The isotropic semicircle law and deformation of Wigner matrices
• Localization of the continuous Anderson Hamiltonian in 1-d
• Singular vector and singular subspace distribution for the matrix denoising model
• Isomonodromic quantization of the second Painlevé equation by means of conservative Hamiltonian systems with two degrees of freedom

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