Asymptotic distribution of singular values of powers of random matrices

DOI10.1007/S10986-010-9074-4zbMATH Open1208.60021arXiv1002.4442OpenAlexW2133191418WikidataQ63112216 ScholiaQ63112216MaRDI QIDQ619299FDOQ619299

Authors: N. V. Alexeev, Friedrich Götze, A. N. Tikhomirov 

Publication date: 24 January 2011

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Abstract: Let $x$ be a complex random variable such that $Ex=0$, $E|x{|}^2=1$, $E|x{|}^4<infty$. Let $x_{ij}$, $i,jin1,2,\mathrm{...}$ be independet copies of $x$. Let $Xb=(N^{-1/2}{x}_{ij})$, $1leqi,jleqN$ be a random matrix. Writing $X{b}^{\ast }$ for the adjoint matrix of $Xb$, consider the product $X{b}^m{X{b}^{\ast }}^m$ with some $min1,2,\mathrm{...}$. The matrix $X{b}^m{X{b}^{\ast }}^m$ is Hermitian positive semi-definite. Let $lambd{a}_1,lambd{a}_2,\mathrm{...},lambd{a}_N$ be eigenvalues of $X{b}^m{X{b}^{\ast }}^m$ (or squared singular values of the matrix $X{b}^m$). In this paper we find the asymptotic distribution function [ G^{(m)}(x)=lim_{N oinfty}E{F_N^{(m)}(x)} ] of the empirical distribution function [ {F_N^{(m)}(x)} = N^{-1} sum_{k=1}^N {mathbb{I}{{lambda_k leq x}}}, ] where $mathbbIA$ stands for the indicator function of event $A$. The moments of $G^{(m)}$ satisfy [ M^{(m)}_p=int_{mathbb{R}}{x^p dG^{(m)}(x)}=frac{1}{mp+1}�inom{mp+p}{p}. ] In Free Probability Theory $M_p^{(m)}$ are known as Fuss--Catalan numbers. With $m=1$ our result turns to a well known result of Marchenko--Pastur 1967.

Full work available at URL: https://arxiv.org/abs/1002.4442

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zbMATH Keywords

random matricesFuss-Catalan numbersMarchenko-Pastur distributionsemi-circular law

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

Cites Work

• Lectures on the Combinatorics of Free Probability
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• Fuss-Catalan numbers in noncommutative probability
• The generating function of ternary trees and continued fractions
• On the powers of Voiculescu's circular element

Cited In (37)

• Hankel-total positivity of some sequences
• Limit distributions of random matrices
• Multivariate Fuss-Narayana polynomials and their application to random matrices
• On the singular spectrum of powers and products of random matrices
• Non-crossing partitions
• Singular values distribution of squares of elliptic random matrices and type B Narayana polynomials
• Dropping the independence: singular values for products of two coupled random matrices
• On the asymptotic distribution of singular values of powers of random matrices
• Logarithmically complete monotonicity of Catalan-Qi function related to Catalan numbers
• On almost sure convergence of the spectral distribution of a power of a random matrix to the Fuss-Catalan distribution
• Matrix product ensembles of Hermite type and the hyperbolic Harish-Chandra-Itzykson-Zuber integral
• On the distribution of the left singular vectors of a random matrix and its applications
• Singular values for products of complex Ginibre matrices with a source: hard edge limit and phase transition
• Title not available (Why is that?)
• Some properties of the Fuss-Catalan numbers
• Local universality in biorthogonal Laguerre ensembles
• Limiting Spectral Distributions of Sums of Products of Non-Hermitian Random Matrices
• On words of non-Hermitian random matrices
• On explicit probability densities associated with Fuss-Catalan numbers
• Raney distributions and random matrix theory
• Random matrices associated to Young diagrams
• Proof methods in random matrix theory
• The asymptotic distribution of singular values with applications to canonical correlations and correspondence analysis
• The asymptotic behavior of the singular values of matrix powers and applications
• Asymptotic behavior of the maximum and minimum singular value of random Vandermonde matrices
• Asymptotics for the moments of singular distributions
• Generating random density matrices
• Lyapunov exponent, universality and phase transition for products of random matrices
• On generating functions of Hausdorff moment sequences
• Asymptotic distributions of Wishart type products of random matrices
• Convergence and asymptotic approximations to universal distributions in probability
• Asymptotic spectra of matrix-valued functions of independent random matrices and free probability
• Random matrix products: universality and least singular values
• Distribution of linear statistics of singular values of the product of random matrices
• Three identities of the Catalan-Qi numbers
• Logarithmically complete monotonicity of a function related to the Catalan-Qi function
• A fuss-type family of positive definite sequences

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