Spectral radii of large non-Hermitian random matrices

DOI10.1007/S10959-015-0634-8zbMATH Open1362.15024arXiv1411.1833OpenAlexW1160897469MaRDI QIDQ521971FDOQ521971

Authors: Tiefeng Jiang, Yongcheng Qi 

Publication date: 12 April 2017

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: By using the independence structure of points following a determinantal point process, we study the radii of the spherical ensemble, the truncation of the circular unitary ensemble and the product ensemble with parameter n and k. The limiting distributions of the three radii are obtained. They are not the Tracy-Widom distribution. In particular, for the product ensemble, we show that the limiting distribution has a transition phenomenon: when k/n -> 0, k/n -> a in (0,infty) and k/n -> infty, the liming distribution is the Gumbel distribution, a new distribution $mu$ and the logarithmic normal distribution, respectively. The cumulative distribution function (cdf) of mu is the infinite product of some normal distribution functions. Another new distribution nu is also obtained for the spherical ensemble such that the cdf of nu is the infinite product of the cdfs of some Poisson-distributed random variables.

Full work available at URL: https://arxiv.org/abs/1411.1833

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zbMATH Keywords

independencedeterminantal point processspectral radiuseigenvalueextreme valuenon-Hermitian random matrix

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Limit theorems in probability theory (60F99)

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Cited In (21)

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• A limit theorem at the edge of a non-Hermitian random matrix ensemble
• Empirical distributions of eigenvalues of product ensembles
• Extremal particles of two-dimensional Coulomb gases and random polynomials on a positive background
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