Free convolution with a semicircular distribution and eigenvalues of spiked deformations of Wigner matrices

DOI10.1214/EJP.V16-934zbMATH Open1245.15037arXiv1006.3684OpenAlexW2020673449MaRDI QIDQ428548FDOQ428548

Authors: Mireille Capitaine, Catherine Donati-Martin, Delphine Féral, Maxime Février 

Publication date: 22 June 2012

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

Abstract: We investigate the asymptotic behavior of the eigenvalues of spiked perturbations of Wigner matrices when the dimension goes to infinity. The entries of the Hermitian Wigner matrix have a distribution which is symmetric and satisfies a Poincar'e inequality. The perturbation matrix is a deterministic Hermitian matrix whose spectral measure converges to some probability measure with compact support. We assume that this perturbation matrix has a fixed number of fixed eigenvalues (spikes) outside the support of its limiting spectral measure whereas the distance between the other eigenvalues and this support uniformly goes to zero as the dimension goes to infinity. We establish that only a particular subset of the spikes will generate some eigenvalues of the deformed model which will converge to some limiting points outside the support of the limiting spectral measure. This phenomenon can be fully described in terms of free probability involving the subordination function related to the additive free convolution of the limiting spectral measure of the perturbation matrix by a semi-circular distribution. Note that up to now only finite rank perturbations had been considered (even in the deformed GUE case).

Full work available at URL: https://arxiv.org/abs/1006.3684

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zbMATH Keywords

Stieltjes transformrandom matricesfree probabilityasymptotic spectrumextreme eigenvaluessubordination propertydeformed Wigner matriceslimiting spectral measurePoincaré inequality

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Free probability and free operator algebras (46L54)

Cited In (31)

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• On finite rank deformations of Wigner matrices. II: Delocalized perturbations
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• Non universality of fluctuations of outlier eigenvectors for block diagonal deformations of Wigner matrices
• Outlier eigenvalues for deformed i.i.d. random matrices
• Outliers in the spectrum for products of independent random matrices
• The isotropic semicircle law and deformation of Wigner matrices
• Spectrum of deformed random matrices and free probability
• Random perturbations of matrix polynomials

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