The largest eigenvalue of real symmetric, Hermitian and Hermitian self-dual random matrix models with rank one external source. I

DOI10.1007/S10955-012-0417-XzbMATH Open1246.15036arXiv1012.4144OpenAlexW1965236548MaRDI QIDQ411523FDOQ411523

Authors: Dong Wang 

Publication date: 4 April 2012

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

Abstract: We consider the limiting location and limiting distribution of the largest eigenvalue in real symmetric ($$ = 1), Hermitian ($$ = 2), and Hermitian self-dual ($$ = 4) random matrix models with rank 1 external source. They are analyzed in a uniform way by a contour integral representation of the joint probability density function of eigenvalues. Assuming the one-band condition and certain regularities of the potential function, we obtain the limiting location of the largest eigenvalue when the nonzero eigenvalue of the external source matrix is not the critical value, and further obtain the limiting distribution of the largest eigenvalue when the nonzero eigenvalue of the external source matrix is greater than the critical value. When the nonzero eigenvalue of the external source matrix is less than or equal to the critical value, the limiting distribution of the largest eigenvalue will be analyzed in a subsequent paper. In this paper we also give a definition of the external source model for all $$ > 0.

Full work available at URL: https://arxiv.org/abs/1012.4144

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zbMATH Keywords

random matrixlargest eigenvalueJack polynomialslimiting distribution\(\beta\) ensembleexternal source

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 (23)

• Probability densities and distributions for spiked and general variance Wishart \(\beta\)-ensembles
• Rank 1 real Wishart spiked model
• Rank 1 perturbations in random matrix theory — A review of exact results
• Spectra of random Hermitian matrices with a small-rank external source: the critical and near-critical regimes
• Asymptotic power of sphericity tests for high-dimensional data
• Hypergeometric functions of matrix arguments and linear statistics of multi-spiked Hermitian matrix models
• Phase transitions for products of characteristic polynomials under Dyson Brownian motion
• On a relationship between high rank cases and rank one cases of Hermitian random matrix models with external source
• Detection of weak signals in high-dimensional complex-valued data
• On the limit of extreme eigenvalues of large dimensional random quaternion matrices
• Painlevé II in random matrix theory and related fields
• Spectra of random Hermitian matrices with a small-rank external source: the supercritical and subcritical regimes
• Signal detection in high dimension: the multispiked case
• Extremal eigenvalues of sample covariance matrices with general population
• On the Largest Eigenvalue of a Hermitian Random Matrix Model with Spiked External Source I. Rank 1 Case
• 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
• Universality for the largest eigenvalue of sample covariance matrices with general population
• Limits for circular Jacobi beta-ensembles
• Convergence rates of the spectral distributions of large random quaternion self-dual Hermitian matrices
• Asymptotics of spacing distributions at the hard edge for \(\beta\)-ensembles
• Asymptotic linear spectral statistics for spiked Hermitian random matrices

Uses Software

• MOPS

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