Outliers in the spectrum of large deformed unitarily invariant models
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Abstract: In this paper we characterize the possible outliers in the spectrum of large deformed unitarily invariant additive and multiplicative models, as well as the eigenvectors corresponding to them. We allow both the non-deformed unitarily invariant model and the perturbation matrix to have non-trivial limiting spectral measures and spiked outliers in their spectrum. We uncover a remarkable new phenomenon: a single spike can generate asymptotically several outliers in the spectrum of the deformed model. The free subordination functions play a key role in this analysis.
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- On the analytic structure of second-order non-commutative probability spaces and functions of bounded Fréchet variation
- The conjugate gradient algorithm on a general class of spiked covariance matrices
- Large deviations for the largest eigenvalue of the sum of two random matrices
- Limiting distribution of the sample canonical correlation coefficients of high-dimensional random vectors
- Free probability of type B and asymptotics of finite-rank perturbations of random matrices
- Extremal eigenvalues and eigenvectors of deformed Wigner matrices
- Freeness of type B and conditional freeness for random matrices
- Dynamics of a rank-one multiplicative perturbation of a unitary matrix
- Spiked multiplicative random matrices and principal components
- Local laws for multiplication of random matrices
- Principal components in linear mixed models with general bulk
- Complex outliers of Hermitian random matrices
- Subordination methods for free deconvolution
- Tracy-Widom limit for free sum of random matrices
- scientific article; zbMATH DE number 7639710 (Why is no real title available?)
- Canonical correlation coefficients of high-dimensional Gaussian vectors: finite rank case
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- Freeness over the diagonal and outliers detection in deformed random matrices with a variance profile
- Additivity violation of quantum channels via strong convergence to semi-circular and circular elements
- Sample canonical correlation coefficients of high-dimensional random vectors with finite rank correlations
- Subordination for the sum of two random matrices
- Fundamental limits of weak recovery with applications to phase retrieval
- Mesoscopic perturbations of large random matrices
- Local law of addition of random matrices on optimal scale
- Statistical inference for principal components of spiked covariance matrices
- Gaussian fluctuations for products of random matrices
- Nonuniversality of fluctuations of outliers for Hermitian polynomials in a complex Wigner matrix and a spiked diagonal matrix
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