The eigenvalues and eigenvectors of finite, low rank perturbations of large random matrices
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phase transitionprincipal components analysiseigenvalue distributionrandom matricesfree probabilityrandom perturbationsymmetric matrixHaar measurerandom eigenvaluesrandom eigenvectorssample covariance matricesinformational limit
Factor analysis and principal components; correspondence analysis (62H25) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Phase transitions (general) in equilibrium statistical mechanics (82B26) Free probability and free operator algebras (46L54)
Abstract: We consider the eigenvalues and eigenvectors of finite, low rank perturbations of random matrices. Specifically, we prove almost sure convergence of the extreme eigenvalues and appropriate projections of the corresponding eigenvectors of the perturbed matrix for additive and multiplicative perturbation models. The limiting non-random value is shown to depend explicitly on the limiting eigenvalue distribution of the unperturbed random matrix and the assumed perturbation model via integral transforms that correspond to very well known objects in free probability theory that linearize non-commutative free additive and multiplicative convolution. Furthermore, we uncover a phase transition phenomenon whereby the large matrix limit of the extreme eigenvalues of the perturbed matrix differs from that of the original matrix if and only if the eigenvalues of the perturbing matrix are above a certain critical threshold. Square root decay of the eigenvalue density at the edge is sufficient to ensure that this threshold is finite. This critical threshold is intimately related to the same aforementioned integral transforms and our proof techniques bring this connection and the origin of the phase transition into focus. Consequently, our results extend the class of `spiked' random matrix models about which such predictions (called the BBP phase transition) can be made well beyond the Wigner, Wishart and Jacobi random ensembles found in the literature. We examine the impact of this eigenvalue phase transition on the associated eigenvectors and observe an analogous phase transition in the eigenvectors. Various extensions of our results to the problem of non-extreme eigenvalues are discussed.
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