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

zbMATH Open1492.46058arXiv2103.09025MaRDI QIDQ5026470FDOQ5026470

Authors: Katsunori Fujie, Takahiro Hasebe 

Publication date: 8 February 2022

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.

Full work available at URL: https://arxiv.org/abs/2103.09025

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zbMATH Keywords

free probabilityprincipal submatrixWeingarten calculusMarkov-Krein correspondenceHaar unitary random matrix

Mathematics Subject Classification ID

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

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Cited In (2)

• 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

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