Probability of all eigenvalues real for products of standard Gaussian matrices

DOI10.1088/1751-8113/47/6/065202MaRDI QIDQ5404775zbMATH OpenOpenAlexFDO

Authors Peter J. Forrester

Publication date 28 March 2014

Published in Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1309.7736

zbMATH Keywords

determinanteigenvaluerandom matrix productsFreud weightMeijer \(G\)-function

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Determinants, permanents, traces, other special matrix functions (15A15) Hypergeometric integrals and functions defined by them ((E), (G), (H) and (I) functions) (33C60)

Abstract: With $X_i$ independent $NimesN$ standard Gaussian random matrices, the probability $p_{N,N}^{P_m}$ that all eigenvalues are real for the matrix product $P_m=X_m{X}_{m-1}cdots{X}_1$ is expressed in terms of an $N/2imesN/2$ ($N$ even) and $(N+1)/2imes(N+1)/2$ ($N$ odd) determinant. The entries of the determinant are certain Meijer $G$-functions. In the case $m=2$ high precision computation indicates that the entries are rational multiples of $p{i}^2$, with the denominator a power of 2, and that to leading order in $N$ $p_{N,N}^{P_m}$ decays as $(pi/4{)}^{N^2/2}$. We are able to show that for general $m$ and large $N$, $p_{N,N}^{P_m}sim{b}_m^{N^2}$ with an explicit $b_m$. An analytic demonstration that $p_{N,N}^{P_m}o1$ as $moinfty$ is given.

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