The eigenvalues and eigenvectors of finite, low rank perturbations of large random matrices

DOI10.1016/j.aim.2011.02.007zbMath1226.15023arXiv0910.2120OpenAlexW2099551908MaRDI QIDQ531808

Florent Benaych-Georges, Raj Rao Nadakuditi

Publication date: 20 April 2011

Published in: Advances in Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.2120

zbMATH Keywords

eigenvalue distributionrandom matricesphase transitionrandom perturbationsymmetric matrixHaar measurefree probabilityrandom eigenvaluesprincipal components analysisrandom eigenvectorssample covariance matricesinformational limit

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Random matrices (probabilistic aspects) (60B20) Free probability and free operator algebras (46L54) Eigenvalues, singular values, and eigenvectors (15A18) Phase transitions (general) in equilibrium statistical mechanics (82B26) Random matrices (algebraic aspects) (15B52)

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Uses Software

• RMTool

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