Fluctuations of the extreme eigenvalues of finite rank deformations of random matrices

DOI10.1214/EJP.V16-929zbMATH Open1245.60007arXiv1009.0145MaRDI QIDQ428539FDOQ428539

Authors: Florent Benaych-Georges, Alice Guionnet, Mylène Maida 

Publication date: 22 June 2012

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

Abstract: Consider a deterministic self-adjoint matrix X_n with spectral measure converging to a compactly supported probability measure, the largest and smallest eigenvalues converging to the edges of the limiting measure. We perturb this matrix by adding a random finite rank matrix with delocalized eigenvectors and study the extreme eigenvalues of the deformed model. We give necessary conditions on the deterministic matrix X_n so that the eigenvalues converging out of the bulk exhibit Gaussian fluctuations, whereas the eigenvalues sticking to the edges are very close to the eigenvalues of the non-perturbed model and fluctuate in the same scale. We generalize these results to the case when X_n is random and get similar behavior when we deform some classical models such as Wigner or Wishart matrices with rather general entries or the so-called matrix models.

Full work available at URL: https://arxiv.org/abs/1009.0145

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zbMATH Keywords

random matricesextreme eigenvalue statisticsGaussian fluctuationsspiked modelstracy-widom laws

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

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