Asymptotic distribution of singular values of powers of random matrices

DOI10.1007/S10986-010-9074-4MaRDI QIDQ619299zbMATH OpenOpenAlexWikidataFDO

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

Publication date 24 January 2011

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

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

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)

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.

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Cites work

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

Cited in

(37)

• Hankel-total positivity of some sequences
• Limit distributions of random matrices
• On the singular spectrum of powers and products of random matrices
• Multivariate Fuss-Narayana polynomials and their application to 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
• On almost sure convergence of the spectral distribution of a power of a random matrix to the Fuss-Catalan distribution
• On the distribution of the left singular vectors of a random matrix and its applications
• Logarithmically complete monotonicity of Catalan-Qi function related to Catalan numbers
• Singular values for products of complex Ginibre matrices with a source: hard edge limit and phase transition
• Matrix product ensembles of Hermite type and the hyperbolic Harish-Chandra-Itzykson-Zuber integral
• scientific article; zbMATH DE number 3784995 (Why is no real title available?)
• Some properties of the Fuss-Catalan numbers
• Local universality in biorthogonal Laguerre ensembles
• On words of non-Hermitian random matrices
• Raney distributions and random matrix theory
• On explicit probability densities associated with Fuss-Catalan numbers
• Random matrices associated to Young diagrams
• Asymptotic behavior of the maximum and minimum singular value of random Vandermonde matrices
• The asymptotic distribution of singular values with applications to canonical correlations and correspondence analysis
• Asymptotics for the moments of singular distributions
• The asymptotic behavior of the singular values of matrix powers and applications
• Proof methods in random matrix theory
• Generating random density matrices
• Lyapunov exponent, universality and phase transition for products of random matrices
• On generating functions of Hausdorff moment sequences
• Convergence and asymptotic approximations to universal distributions in probability
• Asymptotic distributions of Wishart type products of random matrices
• 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
• Limiting spectral distributions of sums of products ofnon-Hermitian random matrices

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