Random matrix products: universality and least singular values

DOI10.1214/19-AOP1396zbMATH Open1451.60017arXiv1802.03004OpenAlexW3035879727MaRDI QIDQ784173FDOQ784173

Van Vu, Sean O'Rourke, Phil Kopel

Publication date: 31 July 2020

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: We establish, under a moment matching hypothesis, the local universality of the correlation functions associated with products of $M$ independent iid random matrices, as $M$ is fixed, and the sizes of the matrices tend to infinity. This generalizes an earlier result of Tao and the third author for the case $M=1$. We also prove Gaussian limits for the centered linear spectral statistics of products of $M$ independent iid random matrices. This is done in two steps. First, we establish the result for product random matrices with Gaussian entries, and then extend to the general case of non-Gaussian entries by another moment matching argument. Prior to our result, Gaussian limits were known only for the case $M=1$. In a similar fashion, we establish Gaussian limits for the centered linear spectral statistics of products of independent truncated random unitary matrices. In both cases, we are able to obtain explicit expressions for the limiting variances. The main difficulty in our study is that the entries of the product matrix are no longer independent. Our key technical lemma is a lower bound on the least singular value of the translated linearization matrix associated with the product of $M$ normalized independent random matrices with independent and identically distributed subgaussian entries. This lemma is of independent interest.

Full work available at URL: https://arxiv.org/abs/1802.03004

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zbMATH Keywords

linear statisticscorrelation functionuniversalitymoment matchingcircular lawnon-Hermitian matricesi.i.d. matricesleast singular valueproduct random matricestruncated random unitary matrices

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

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Cited In (11)

• Universality and least singular values of random matrix products: a simplified approach
• CLT for non-Hermitian random band matrices with variance profiles
• Rate of convergence for products of independent non-Hermitian random matrices
• Universality of the least singular value for the sum of random matrices
• On the universality of the probability distribution of the productB ¹Xof random matrices
• Universality of the least singular value for sparse random matrices
• Partial Linear Eigenvalue Statistics for Non-Hermitian Random Matrices
• A review of exact results for fluctuation formulas in random matrix theory
• Distribution of linear statistics of singular values of the product of random matrices
• Phase transitions for infinite products of large non-Hermitian random matrices
• Universal sum and product rules for random matrices

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