Superstatistical generalizations of Wishart–Laguerre ensembles of random matrices

DOI10.1088/1751-8113/42/17/175207zbMATH Open1165.15306arXiv0811.1992OpenAlexW2962988464MaRDI QIDQ3628280FDOQ3628280

Authors: A. Y. Abul-Magd, P. Vivo, Gernot Akemann 

Publication date: 19 May 2009

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Abstract: Using Beck and Cohen's superstatistics, we introduce in a systematic way a family of generalised Wishart-Laguerre ensembles of random matrices with Dyson index $$ = 1,2, and 4. The entries of the data matrix are Gaussian random variables whose variances $eta$ fluctuate from one sample to another according to a certain probability density $f(eta)$ and a single deformation parameter $gamma$. Three superstatistical classes for $f(eta)$ are usually considered: $ch{i}^2$-, inverse $ch{i}^2$- and log-normal-distributions. While the first class, already considered by two of the authors, leads to a power-law decay of the spectral density, we here introduce and solve exactly a superposition of Wishart-Laguerre ensembles with inverse $ch{i}^2$-distribution. The corresponding macroscopic spectral density is given by a $gamma$-deformation of the semi-circle and Marv{c}enko-Pastur laws, on a non-compact support with exponential tails. After discussing in detail the validity of Wigner's surmise in the Wishart-Laguerre class, we introduce a generalised $gamma$-dependent surmise with stretched-exponential tails, which well approximates the individual level spacing distribution in the bulk. The analytical results are in excellent agreement with numerical simulations. To illustrate our findings we compare the $ch{i}^2$- and inverse $ch{i}^2$-class to empirical data from financial covariance matrices.

Full work available at URL: https://arxiv.org/abs/0811.1992

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Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52)

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