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

DOI10.1214/15-AIHP702MaRDI QIDQ503096zbMATH OpenOpenAlexFDO

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)

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

zbMATH Keywords

random matricesperturbationuniversalityempirical spectral distribution

Mathematics Subject Classification ID

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

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.

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(9)

• Regularization of non-normal matrices by Gaussian noise -- the banded Toeplitz and twisted Toeplitz cases
• 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

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