The spectrum of heavy tailed random matrices

DOI10.1007/S00220-007-0389-XzbMATH Open1157.60005arXiv0707.2159OpenAlexW1978806035WikidataQ56813027 ScholiaQ56813027MaRDI QIDQ956630FDOQ956630

Authors: Gerard Ben Arous, Alice Guionnet 

Publication date: 25 November 2008

Published in: Communications in Mathematical Physics (Search for Journal in Brave)

Abstract: Let $X_N$ be an $NsN$ random symmetric matrix with independent equidistributed entries. If the law $P$ of the entries has a finite second moment, it was shown by Wigner cite{wigner} that the empirical distribution of the eigenvalues of $X_N$, once renormalized by $sqrtN$, converges almost surely and in expectation to the so-called semicircular distribution as $N$ goes to infinity. In this paper we study the same question when $P$ is in the domain of attraction of an $alpha$-stable law. We prove that if we renormalize the eigenvalues by a constant $a_N$ of order $N^{frac1alpha}$, the corresponding spectral distribution converges in expectation towards a law $m{u}_{a}lpha$ which only depends on $alpha$. We characterize $m{u}_{a}lpha$ and study some of its properties; it is a heavy-tailed probability measure which is absolutely continuous with respect to Lebesgue measure except possibly on a compact set of capacity zero.

Full work available at URL: https://arxiv.org/abs/0707.2159

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zbMATH Keywords

eigenvaluesweak convergencerandom matricesprobability measuresstable laws

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Central limit and other weak theorems (60F05)

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