Sanov-type large deviations in Schatten classes

Abstract: Denote by

l a m b d a_{1} (A), l d o t s, l a m b d a_{n} (A)

the eigenvalues of an

(n i m e s n)

-matrix

A

. Let

Z_{n}

be an

(n i m e s n)

-matrix chosen uniformly at random from the matrix analogue to the classical

e l l_{p}^{n}

-ball, defined as the set of all self-adjoint

(n i m e s n)

-matrices satisfying

s u m_{k = 1}^{n} | l a m b d a_{k} (A) |^{p} l e q 1

. We prove a large deviations principle for the (random) spectral measure of the matrix

n^{1 / p} Z_{n}

. As a consequence, we obtain that the spectral measure of

n^{1 / p} Z_{n}

converges weakly almost surely to a non-random limiting measure given by the Ullman distribution, as

n o i n f t y

. The corresponding results for random matrices in Schatten trace classes, where eigenvalues are replaced by the singular values, are also presented.

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