Large deviations for the largest eigenvalue of Rademacher matrices

DOI10.1214/19-AOP1398zbMATH Open1444.60021arXiv1810.01188MaRDI QIDQ784177FDOQ784177

Authors: Alice Guionnet, Jonathan Husson 

Publication date: 31 July 2020

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

Abstract: In this article, we consider random Wigner matrices, that is symmetric matrices such that the subdiagonal entries of Xn are independent, centered, and with variance one except on the diagonal where the entries have variance two. We prove that, under some suitable hypotheses on the laws of the entries, the law of the largest eigenvalue satisfies a large deviation principle with the same rate function as in the Gaussian case. The crucial assumption is that the Laplace transform of the entries must be bounded above by the Laplace transform of a centered Gaussian variable with same variance. This is satisfied by the Rademacher law and the uniform law on [sqrt{3}, sqrt{3}]. We extend our result to complex entries Wigner matrices and Wishart matrices.

Full work available at URL: https://arxiv.org/abs/1810.01188

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zbMATH Keywords

large deviationsrandom matricesWishart matrixWigner matrixRademacher law

Mathematics Subject Classification ID

Large deviations (60F10) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

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Cited In (31)

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• Large deviations for the largest eigenvalue of the sum of two random matrices
• Asymptotics of k dimensional spherical integrals and applications
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