Local eigenvalue density for general MANOVA matrices

DOI10.1007/S10955-013-0807-8zbMATH Open1286.15045arXiv1207.0031OpenAlexW3099174811MaRDI QIDQ377777FDOQ377777

Authors: László Erdős, Brendan Farrell 

Publication date: 7 November 2013

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Abstract: We consider random n imes n matrices of the form (XX*+YY*)^{-1/2}YY*(XX*+YY*)^{-1/2}, where X and Y have independent entries with zero mean and variance one. These matrices are the natural generalization of the Gaussian case, which are known as MANOVA matrices and which have joint eigenvalue density given by the third classical ensemble, the Jacobi ensemble. We show that, away from the spectral edge, the eigenvalue density converges to the limiting density of the Jacobi ensemble even on the shortest possible scales of order 1/n (up to log n factors). This result is the analogue of the local Wigner semicircle law and the local Marchenko-Pastur law for general MANOVA matrices.

Full work available at URL: https://arxiv.org/abs/1207.0031

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zbMATH Keywords

eigenvalue densitylocal densityJacobi ensembleMANOVA random matrix

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

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Cited In (5)

• Densities of the extreme eigenvalues of Beta-MANOVA matrices
• Local spectrum of truncations of Kronecker products of Haar distributed unitary matrices
• Liberation of projections
• Schur-Weyl duality and the product of randomly-rotated symmetries by a unitary Brownian motion
• The spectral edge of unitary Brownian motion

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