Additive/multiplicative free subordination property and limiting eigenvectors of spiked additive deformations of Wigner matrices and spiked sample covariance matrices

DOI10.1007/S10959-012-0416-5zbMATH Open1279.15026arXiv1103.2899OpenAlexW2075549341MaRDI QIDQ376265FDOQ376265

Mireille Capitaine

Publication date: 4 November 2013

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: When some eigenvalues of a spiked multiplicative resp. additive deformation model of a Hermitian Wigner matrix resp. a sample covariance matrix separate from the bulk, we study how the corresponding eigenvectors project onto those of the perturbation. We point out that the inverse of the subordination function relative to the free additive resp. multiplicative convolution plays an important part in the asymptotic behavior.

Full work available at URL: https://arxiv.org/abs/1103.2899

zbMATH Keywords

eigenvalueseigenvectorsspectral measureHermitian matrixrandom matricesfree probabilityspiked deformations of Wigner matricesspiked sample covariance matricessubordination property

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

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Cited In (11)

• Free probability of type B and asymptotics of finite-rank perturbations of random matrices
• Nonuniversality of fluctuations of outliers for Hermitian polynomials in a complex Wigner matrix and a spiked diagonal matrix
• Spectral measures of spiked random matrices
• Non-commutative probability insights into the double-scaling limit SYK model with constant perturbations: moments, cumulants and \(q\)-independence
• Local stability of the free additive convolution
• Limiting Eigenvectors of Outliers for Spiked Information-Plus-Noise Type Matrices
• Spectral analysis of the Gram matrix of mixture models
• Subordination for the sum of two random matrices
• Optimal cleaning for singular values of cross-covariance matrices
• Non universality of fluctuations of outlier eigenvectors for block diagonal deformations of Wigner matrices
• Local law of addition of random matrices on optimal scale

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