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

DOI10.1016/j.aim.2011.02.007zbMath1226.15023arXiv0910.2120MaRDI 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 distribution; random matrices; phase transition; random perturbation; symmetric matrix; Haar measure; free probability; random eigenvalues; principal components analysis; random eigenvectors; sample covariance matrices; informational limit

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

60B20: Random matrices (probabilistic aspects)

46L54: Free probability and free operator algebras

15A18: Eigenvalues, singular values, and eigenvectors

82B26: Phase transitions (general) in equilibrium statistical mechanics

15B52: Random matrices (algebraic aspects)

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Uses Software

• RMTool

Cites Work

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