Universality of the ESD for a fixed matrix plus small random noise: a stability approach

DOI10.1214/15-AIHP702zbMATH Open1357.15024arXiv1403.4593OpenAlexW1570097413MaRDI QIDQ503096FDOQ503096

Authors: Philip Matchett Wood 

Publication date: 11 January 2017

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: We study the empirical spectral distribution (ESD) in the limit where n goes to infinity of a fixed n by n matrix M_n plus small random noise of the form f(n)X_n, where X_n has iid mean 0, variance 1/n entries and f(n) goes to 0 as n goes to infinity. It is known for certain M_n, in the case where X_n is iid complex Gaussian, that the limiting distribution of the ESD of M_n+f(n)X_n can be dramatically different from that for M_n. We prove a general universality result showing, with some conditions on M_n and f(n), that the limiting distribution of the ESD does not depend on the type of distribution used for the random entries of X_n. We use the universality result to exactly compute the limiting ESD for two families where it was not previously known. The proof of the main result incorporates the Tao-Vu replacement principle and a version of the Lindeberg replacement strategy, along with the newly-defined notion of stability of sets of rows of a matrix.

Full work available at URL: https://arxiv.org/abs/1403.4593

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zbMATH Keywords

random matricesperturbationuniversalityempirical spectral distribution

Mathematics Subject Classification ID

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

Cited In (9)

• Quantitative results for banded Toeplitz matrices subject to random and deterministic perturbations
• Outliers of random perturbations of Toeplitz matrices with finite symbols
• Toeplitz band matrices with small random perturbations
• Limiting empirical spectral distribution for the non-backtracking matrix of an Erdős-Rényi random graph
• General Toeplitz matrices subject to Gaussian perturbations
• A note on the universality of ESDs of inhomogeneous random matrices
• Approximation to stable law by the Lindeberg principle
• Spectrum and pseudospectrum for quadratic polynomials in Ginibre matrices
• Regularization of non-normal matrices by Gaussian noise -- the banded Toeplitz and twisted Toeplitz cases

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