The largest eigenvalue of small rank perturbations of Hermitian random matrices

DOI10.1007/S00440-005-0466-ZzbMATH Open1088.15025arXivmath/0411487OpenAlexW2090980101MaRDI QIDQ816987FDOQ816987

Authors: S. Péché 

Publication date: 2 March 2006

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

Abstract: We compute the limiting eigenvalue statistics at the edge of the spectrum of large Hermitian random matrices perturbed by the addition of small rank deterministic matrices. To be more precise, we consider random Hermitian matrices with independent Gaussian entries $M_{ij},ileqj$ with various expectations. We prove that the largest eigenvalue of such random matrices exhibits, in the large $N$ limit, various limiting distributions depending on both the eigenvalues of the matrix $(mathbbE{M}_{ij}{)}_{i,j=1}^N$ and its rank.

Full work available at URL: https://arxiv.org/abs/math/0411487

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zbMATH Keywords

largest eigenvaluerank perturbationHermitian random matricesstatistics of extreme eigenvaluesWishart random matrices

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20) Inequalities involving eigenvalues and eigenvectors (15A42) Random matrices (algebraic aspects) (15B52)

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