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

DOI10.1214/EJP.V16-934MaRDI QIDQ428548zbMATH OpenOpenAlexFDO

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)

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

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)

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).

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Cited in

(31)

• Random perturbations of matrix polynomials
• A note on the CLT of the LSS for sample covariance matrix from a spiked population model
• Nonuniversality of fluctuations of outliers for Hermitian polynomials in a complex Wigner matrix and a spiked diagonal matrix
• On the free convolution with a semi-circular distribution
• Statistical diagonalization of a random biased Hamiltonian: the case of the eigenvectors
• Local deformed semicircle law and complete delocalization for Wigner matrices with random potential
• Fluctuations at the edges of the spectrum of the full rank deformed GUE
• Outliers in the single ring theorem
• Additive/multiplicative free subordination property and limiting eigenvectors of spiked additive deformations of Wigner matrices and spiked sample covariance matrices
• Generating random Gaussian states
• Spectral properties of polynomials in independent Wigner and deterministic matrices
• The spectral norm of random inner-product kernel matrices
• Cumulants for finite free convolution
• Mesoscopic perturbations of large random matrices
• Large deviations for extreme eigenvalues of deformed Wigner random matrices
• On the concavity of the TAP free energy in the SK model
• On the free convolution with a free multiplicative analogue of the normal distribution
• Outliers in spectrum of sparse Wigner matrices
• Emergence of near-TAP free energy functional in the SK model at high temperature
• On finite rank deformations of Wigner matrices. II: Delocalized perturbations
• Complex outliers of Hermitian random matrices
• Extremal eigenvalues and eigenvectors of deformed Wigner matrices
• Subordination for the sum of two random matrices
• TAP free energy, spin glasses and variational inference
• On the almost sure location of the singular values of certain Gaussian block-Hankel large random matrices
• The singular values and vectors of low rank perturbations of large rectangular random matrices
• 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

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