Hole probabilities and overcrowding estimates for products of complex Gaussian matrices
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Abstract: We consider eigenvalues of a product of n non-Hermitian, independent random matrices. Each matrix in this product is of size N imes N with independent standard complex Gaussian variables. The eigenvalues of such a product form a determinantal point process on the complex plane (Akemann and Burda J. Phys A: Math. Theor. 45 (2012) 465201), which can be understood as a generalization of the finite Ginibre ensemble. As N
ightarrowinfty, a generalized infinite Ginibre ensemble arises. We show that the set of absolute values of the points of this determinantal process has the same distribution as {R_1^{(n)},R_2^{(n)},...}, where R_k^{(n)} are independent, and (R_k^{(n)})^2 is distributed as the product of n independent Gamma variables Gamma(k,1). This enables us to find the asymptotics for the hole probabilities, i.e. for the probabilities of the events that there are no points of the process in a disc of radius r with its center at 0, as r
ightarrowinfty. In addition, we solve the relevant overcrowding problem: we derive an asymptotic formula for the probability that there are more than m points of the process in a fixed disk of radius r with its center at 0, as m
ightarrowinfty.
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Cited in
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- Gaussian fluctuations for linear eigenvalue statistics of products of independent iid random matrices
- Outliers in the spectrum for products of independent random matrices
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- The forbidden region for random zeros: Appearance of quadrature domains
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- Time-inhomogeneous random Markov chains
- Disk counting statistics near hard edges of random normal matrices: the multi-component regime
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