On the moments of roots of Laguerre-polynomials and the Marchenko-Pastur law

MaRDI QIDQ4605568zbMATH OpenFDO

Authors Miklós Kornyik, György Michaletzky

Publication date 22 February 2018

Full work available at URL https://arxiv.org/abs/1602.05001

zbMATH Keywords

Laguerre polynomialsMarchenko-Pastur lawrandom covariance matrix

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Random matrices (probabilistic aspects) (60B20)

Abstract: In this paper we compute the leading terms in the sum of the $k^{th}$ power of the roots of $L_p^{(alpha)}$, the Laguerre-polynomial of degree $p$ with parameter $alpha$. The connection between the Laguerre-polynomials and the Marchenko-Pastur distribution is expressed by the fact, among others, that the limiting distribution of the empirical distribution of the normalized roots of the Laguerre-polynomials is given by the Marchenko-Pastur distribution. We give a direct proof of this statement based on the recursion satisfied by the Laguerre-polynomials. At the same time, our main result gives that the leading term in $p$ and $(alpha+p)$ of the sum of the $k^{th}$ power of the roots of $L_p^{(alpha)}$ coincides with the $k^{th}$ moment of the Marchenko-Pastur law. We also mention the fact that the expectation of the characteristic polynomial of a $X{X}^T$ type random covariance matrix, where $X$ is a $pimesn$ random matrix with iid elements, is $el{l}_p^{(n-p)}$, i.e. the monic version of the $p^{th}$ Laguerre polynomial with parameter $n-p$.

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(4)

• Strong approximation of eigenvalues of large dimensional Wishart matrices by roots of generalized Laguerre polynomials
• Limit theorems for Bessel and Dunkl processes of large dimensions and free convolutions
• A nonlocal transport equation describing roots of polynomials under differentiation
• A nonlocal transport equation modeling complex roots of polynomials under differentiation

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