Outliers in the spectrum of large deformed unitarily invariant models

arXiv1207.5443MaRDI QIDQ6234592FDOQ6234592

Maxime Février, S. T. Belinschi, Mireille Capitaine, H. Bercovici

Publication date: 23 July 2012

Abstract: We investigate the asymptotic behavior of the eigenvalues of the sum A+U*BU, where A and B are deterministic N by N Hermitian matrices having respective limiting compactly supported distributions mu,

u, and U is a random N by N unitary matrix distributed according to Haar measure. We assume that A has a fixed number of fixed eigenvalues (spikes) outside the support of mu, whereas the distances between the other eigenvalues of A and the support of mu, and between the eigenvalues of B and the support of u, uniformly go to zero as N goes to infinity. We establish that only a particular subset of the spikes will generate some eigenvalues of A+U*BU outside the support of the limiting spectral measure, called outliers. This phenomenon is fully described in terms of free probability involving the subordination function related to the free additive convolution of mu and

u. Only finite rank perturbations had been considered up to now.

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Free probability and free operator algebras (46L54)

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