Fluctuation of Matrix Entries and Application to Outliers of Elliptic Matrices

DOI10.4153/CJM-2017-024-8MaRDI QIDQ4609538zbMATH OpenOpenAlexFDO

Authors

Publication date 4 April 2018

Published in Canadian Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1602.02929

zbMATH Keywords

random matrixHaar measurespiked modelGaussian fluctuationWeingarten calculuselliptic random matrix

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Free probability and free operator algebras (46L54)

Abstract: For any family of $NimesN$ random matrices $(mathbf{A}_k{)}_{kinK}$ which is invariant, in law, under unitary conjugation, we give general sufficient conditions for central limit theorems for random variables of the type $operatornameTr(mathbf{A}_{k}mathbfM)$, where the matrix $mathbfM$ is deterministic (such random variables include for example the normalized matrix entries of the $mathbf{A}_k$'s). A consequence is the asymptotic independence of the projection of the matrices $mathbf{A}_k$ onto the subspace of null trace matrices from their projections onto the orthogonal of this subspace. These results are used to study the asymptotic behavior of the outliers of a spiked elliptic random matrix. More precisely, we show that the fluctuations of these outliers around their limits can have various rates of convergence, depending on the Jordan Canonical Form of the additive perturbation. Also, some correlations can arise between outliers at a macroscopic distance from each other. These phenomena have already been observed by Benaych-Georges and Rochet with random matrices from the Single Ring Theorem.

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Cited in

(5)

• Outliers in the single ring theorem
• Fluctuations of Brownian motions on \(\mathbb{GL}_N\)
• Low rank perturbations of large elliptic random matrices
• Fluctuations for analytic test functions in the single ring theorem
• Outliers in the spectrum for products of independent random matrices

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