The Dirichlet Markov ensemble

DOI10.1016/J.JMVA.2009.10.013zbMATH Open1187.15036arXiv0709.4678OpenAlexW2135746719MaRDI QIDQ847412FDOQ847412

Authors: Djalil Chafaï 

Publication date: 12 February 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: We equip the polytope of $nimesn$ Markov matrices with the normalized trace of the Lebesgue measure of $mathbb{R}^{n^2}$. This probability space provides random Markov matrices, with i.i.d. rows following the Dirichlet distribution of mean $(1/n,\mathrm{...},1/n)$. We show that if $$ is such a random matrix, then the empirical distribution built from the singular values of$$ tends as $noinfty$ to a Wigner quarter--circle distribution. Some computer simulations reveal striking asymptotic spectral properties of such random matrices, still waiting for a rigorous mathematical analysis. In particular, we believe that with probability one, the empirical distribution of the complex spectrum of $$ tends as $noinfty$ to the uniform distribution on the unit disc of the complex plane, and that moreover, the spectral gap of $$ is of order $1-1/sqrtn$ when $n$ is large.

Full work available at URL: https://arxiv.org/abs/0709.4678

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zbMATH Keywords

singular valuesrandom matricesspectral gapcomplex spectrumDirichlet lawsMarkov matricesWigner quarter-circular distribution

Mathematics Subject Classification ID

Inequalities involving eigenvalues and eigenvectors (15A42) Random matrices (algebraic aspects) (15B52) Strong limit theorems (60F15)

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Cited In (16)

• The ensemble of random Markov matrices
• False discovery variance reduction in large scale simultaneous hypothesis tests
• Spectral norm bounds for block Markov chain random matrices
• Random doubly stochastic matrices: the circular law
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