The outliers of a deformed Wigner matrix

DOI10.1214/13-AOP855zbMATH Open1306.15034arXiv1207.5619MaRDI QIDQ465469FDOQ465469

Authors: Antti Knowles, Jun Yin 

Publication date: 31 October 2014

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: We derive the joint asymptotic distribution of the outlier eigenvalues of an additively deformed Wigner matrix $H$. Our only assumptions on the deformation are that its rank be fixed and its norm bounded. Our results extend those of [The isotropic semicircle law and deformation of Wigner matrices. Preprint] by admitting overlapping outliers and by computing the joint distribution of all outliers. In particular, we give a complete description of the failure of universality first observed in [Ann. Probab. 37 (2009) 1-47; Ann. Inst. Henri Poincar'{e} Probab. Stat. 48 (1013) 107-133; Free convolution with a semi-circular distribution and eigenvalues of spiked deformations of Wigner matrices. Preprint]. We also show that, under suitable conditions, outliers may be strongly correlated even if they are far from each other. Our proof relies on the isotropic local semicircle law established in [The isotropic semicircle law and deformation of Wigner matrices. Preprint]. The main technical achievement of the current paper is the joint asymptotics of an arbitrary finite family of random variables of the form $langlemathbfv,(H-z{)}^{-1}mathbfwangle$.

Full work available at URL: https://arxiv.org/abs/1207.5619

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zbMATH Keywords

Stieltjes transformoutliersasymptoticseigenvectorrandom matricesdeformationuniversalityWigner matrixGaussian unitary ensemblesemicircle lawbulk spectrumeigenvalue densitiesGaussian orthogonal ensemble

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

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Cited In (37)

• Large complex correlated Wishart matrices: fluctuations and asymptotic independence at the edges
• Spectral measures of spiked random matrices
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