Random matrices with exchangeable entries

DOI10.1142/S0129055X20500221MaRDI QIDQ5149202zbMATH OpenOpenAlexWikidataFDO

Authors Werner Kirsch, Thomas Kriecherbauer

Publication date 8 February 2021

Published in Reviews in Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1807.05159

zbMATH Keywords

de Finetti matrix ensembleexchangeabilityrandom matrixrandom semicircle lawspectral normWigner band matrix

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Exchangeability for stochastic processes (60G09)

Abstract: We consider ensembles of real symmetric band matrices with entries drawn from an infinite sequence of exchangeable random variables, as far as the symmetry of the matrices permits. In general the entries of the upper triangular parts of these matrices are correlated and no smallness or sparseness of these correlations is assumed. It is shown that the eigenvalue distribution measures still converge to a semicircle but with random scaling. We also investigate the asymptotic behavior of the corresponding $el{l}_2$-operator norms. The key to our analysis is a generalisation of a classic result by de Finetti that allows to represent the underlying probability spaces as averages of Wigner band ensembles with entries that are not necessarily centred. Some of our results appear to be new even for such Wigner band matrices.

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Cited in

(5)

• Local semicircle law for Curie-Weiss type ensembles
• Circular law for random matrices with exchangeable entries
• Reciprocal matrices with random coefficients
• Random band and block matrices with correlated entries
• The semicircle law for matrices with ergodic entries

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