Outliers in the spectrum of large deformed unitarily invariant models
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Publication:682242
DOI10.1214/16-AOP1144zbMATH Open1412.60014arXiv1412.4916MaRDI QIDQ682242FDOQ682242
Authors: H. Bercovici, Mireille Capitaine, Maxime Février, S. T. Belinschi 
Publication date: 14 February 2018
Published in: The Annals of Probability (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1412.4916
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random matricesdeformed unitarily invariant modelsfree probability and free subordinationspikes and outliers
Cited In (30)
- Principal components in linear mixed models with general bulk
- Free probability of type B and asymptotics of finite-rank perturbations 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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- Dynamics of a rank-one multiplicative perturbation of a unitary matrix
- Freeness of type B and conditional freeness for random matrices
- Fundamental limits of weak recovery with applications to phase retrieval
- On the analytic structure of second-order non-commutative probability spaces and functions of bounded Fréchet variation
- Spiked multiplicative random matrices and principal components
- Limiting distribution of the sample canonical correlation coefficients of high-dimensional random vectors
- Limiting Eigenvectors of Outliers for Spiked Information-Plus-Noise Type Matrices
- Subordination methods for free deconvolution
- Canonical correlation coefficients of high-dimensional Gaussian vectors: finite rank case
- Gaussian fluctuations for products of random matrices
- Sample canonical correlation coefficients of high-dimensional random vectors with finite rank correlations
- Mesoscopic perturbations of large random matrices
- Statistical inference for principal components of spiked covariance matrices
- The conjugate gradient algorithm on a general class of spiked covariance matrices
- Additivity violation of quantum channels via strong convergence to semi-circular and circular elements
- Spectral analysis of 2D outlier layout
- Freeness over the diagonal and outliers detection in deformed random matrices with a variance profile
- Extremal eigenvalues and eigenvectors of deformed Wigner matrices
- Complex outliers of Hermitian random matrices
- Subordination for the sum of two random matrices
- Large deviations for the largest eigenvalue of the sum of two random matrices
- Local laws for multiplication of random matrices
- Tracy-Widom limit for free sum of random matrices
- Local law of addition of random matrices on optimal scale
- Outlier eigenvalues for deformed i.i.d. random matrices
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