Random matrices: sharp concentration of eigenvalues

DOI10.1142/S201032631350007XMaRDI QIDQ2853397zbMATH OpenOpenAlexFDO

Authors Van Vu, Terence Tao

Publication date 21 October 2013

Published in Random Matrices: Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1201.4789

zbMATH Keywords

concentration of measureeigenvaluesLindenberg replacement argumentrandom matricesWigner matrices

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

Abstract: Let $W_n=frac1sqrtn{M}_n$ be a Wigner matrix whose entries have vanishing third moment, normalized so that the spectrum is concentrated in the interval $[-2,2]$. We prove a concentration bound for $N_I=N_I(W_n)$, the number of eigenvalues of $W_n$ in an interval $I$. Our result shows that $N_I$ decays exponentially with standard deviation at most $O(lo{g}^{O(1)}n)$. This is best possible up to the constant exponent in the logarithmic term. As a corollary, the bulk eigenvalues are localized to an interval of width $O(lo{g}^{O(1)}n/n)$; again, this is optimal up to the exponent. These results strengthen recent results of Erdos, Yau and Yin (under the extra assumption of vanishing third

Review text

This paper deals with a square Hermitian \(n\times n\) random matrix with independent random entries above and on the diagonal, so-called Wigner matrices. The authors consider that the matrix entries having vanishing third moment are normalized such that the spectrum is concentrated in the interval \([-2,2]\). The authors prove a concentration bound for the number of eigenvalues of such a matrix. The proof relies on the Lindenberg replacement argument.

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Cited in

(28)

• Horn's problem and Harish-Chandra's integrals. Probability density functions
• Stability of the matrix Dyson equation and random matrices with correlations
• Central limit theorem for partial linear eigenvalue statistics of Wigner matrices
• Optimal local law and central limit theorem for -ensembles
• On the non-asymptotic concentration of heteroskedastic Wishart-type matrix
• Large deviation theorem for zeros of polynomials and Hermitian random matrices
• Lasso guarantees for \(\beta \)-mixing heavy-tailed time series
• Dyson Brownian motion for general and potential at the edge
• Rigidity and a mesoscopic central limit theorem for Dyson Brownian motion for general \(\beta\) and potentials
• Local laws for polynomials of Wigner matrices
• Rigidity of the three-dimensional hierarchical Coulomb gas
• Concentration of distances in Wigner matrices
• A necessary and sufficient condition for edge universality of Wigner matrices
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• Concentration inequalities for statistical inference
• Random weighted projections, random quadratic forms and random eigenvectors
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• Local semicircle law under moment conditions: the Stieltjes transform, rigidity, and delocalization
• Wegner Estimate and Level Repulsion for Wigner Random Matrices
• Random matrices: tail bounds for gaps between eigenvalues
• Rigidity of eigenvalues for \(\beta\) ensemble in multi-cut regime
• Random matrices: localization of the eigenvalues and the necessity of four moments
• Sums of GUE matrices and concentration of hives from correlation decay of eigengaps
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• Cusp universality for correlated random matrices
• Local statistics and concentration for non-intersecting Brownian bridges with smooth boundary data
• Optimal rigidity and maximum of the characteristic polynomial of Wigner matrices
• Ground states and hyperuniformity of the hierarchical Coulomb gas in all dimensions

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