Anisotropic local laws for random matrices

DOI10.1007/S00440-016-0730-4MaRDI QIDQ682801zbMATHOpenAlexFDO

Authors Antti Knowles, Jun Yin

Publication date 5 February 2018

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.3516

zbMATH Keywords

eigenvaluesrandom matrixphase transitionslocal lawWigner matricessample covariance matricesTracy-Widom-Airy statistics

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

Abstract: We develop a new method for deriving local laws for a large class of random matrices. It is applicable to many matrix models built from sums and products of deterministic or independent random matrices. In particular, it may be used to obtain local laws for matrix ensembles that are emph{anisotropic} in the sense that their resolvents are well approximated by deterministic matrices that are not multiples of the identity. For definiteness, we present the method for sample covariance matrices of the form $Q:=TX{X}^{\ast }{T}^{\ast }$, where $T$ is deterministic and $X$ is random with independent entries. We prove that with high probability the resolvent of $Q$ is close to a deterministic matrix, with an optimal error bound and down to optimal spectral scales. As an application, we prove the edge universality of $Q$ by establishing the Tracy-Widom-Airy statistics of the eigenvalues of $Q$ near the soft edges. This result applies in the single-cut and multi-cut cases. Further applications include the distribution of the eigenvectors and an analysis of the outliers and BBP-type phase transitions in finite-rank deformations; they will appear elsewhere. We also apply our method to Wigner matrices whose entries have arbitrary expectation, i.e. we consider $W+A$ where $W$ is a Wigner matrix and $A$ a Hermitian deterministic matrix. We prove the anisotropic local law for $W+A$ and use it to establish edge universality.

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