The spectra of principal submatrices in rotationally invariant Hermitian random matrices and the Markov-Krein correspondence

MaRDI QIDQ5026470zbMATH OpenFDO

Authors Katsunori Fujie, Takahiro Hasebe

Publication date 8 February 2022

Full work available at URL https://arxiv.org/abs/2103.09025, https://alea.impa.br/articles/v19/19-05.pdf

zbMATH Keywords

free probabilityHaar unitary random matrixMarkov-Krein correspondenceprincipal submatrixWeingarten calculus

Mathematics Subject Classification ID

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

Abstract: We prove a concentration phenomenon on the empirical eigenvalue distribution (EED) of the principal submatrix in a random hermitian matrix whose distribution is invariant under unitary conjugacy; for example, this class includes GUE (Gaussian Unitary Ensemble) and Wishart matrices. More precisely, if the EED of the whole matrix converges to some deterministic probability measure $mathfrakm$, then its fluctuation from the EED of the principal submatrix, after a rescaling, concentrates at the Rayleigh measure (in general, a Schwartz distribution) associated with $mathfrakm$ by the Markov--Krein correspondence. For the proof, we use the moment method with Weingarten calculus and free probability. At some stage of calculations, the proof requires a relation between the moments of the Rayleigh measure and free cumulants of $mathfrakm$. This formula is more or less known, but we provide a different proof by observing a combinatorial structure of non-crossing partitions.

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Cited in

(4)

• Infinitesimal operators and the distribution of anticommutators and commutators
• Non-commutative function theory and free probability. Abstracts from the workshop held April 28 -- May 3, 2024
• Free probability of type B prime
• The eigenvalues of the principal minor of a Hermitian random matrix

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