Spectral measures of spiked random matrices
In the paper under review the author studies two models of deformations of random matrices. \begin{itemize} \item[1.] In the first one, the following Wigner matrix: \[ X_n=\begin{bmatrix} X_{11}^{(n)} & X_{12}^{(n)} & \cdots & X_{1n}^{(n)} \\ X_{12}^{(n)} & X_{22}^{(n)} & \cdots & X_{2n}^{(n)} \\ \vdots & \vdots & \ddots & \vdots \\ X_{1n}^{(n)} & X_{2n}^{(n)} & \cdots & X_{nn}^{(n)} \\ \end{bmatrix} \] and the perturbation model: \[ W_n:=\frac 1{\sqrt n}X_n+A_n, \] where \(A_n\) is a deterministic matrix or random matrix independent of \(X_n\), with eigenvalues \(\gamma_1^{(n)}\), \(\ldots\), \(\gamma_n^{(n)}\), is considered. \item[2.] In the second one, the following Wishart matrix: \[ X_n=\begin{bmatrix} X_{11}^{(n)} & X_{12}^{(n)} & \cdots & X_{1m}^{(n)} \\ X_{12}^{(n)} & X_{22}^{(n)} & \cdots & X_{2m}^{(n)} \\ \vdots & \vdots & \ddots & \vdots \\ X_{1n}^{(n)} & X_{2n}^{(n)} & \cdots & X_{nm}^{(n)} \\ \end{bmatrix} \] and the perturbation model: \[ S_n:=\frac 1n\Sigma_n^{\frac 12}X_nX_n^T\Sigma_n^{\frac 12}, \] where \(\Sigma_n\) is a covariance matrix, is taken into consideration. \end{itemize} For the both cases the author studies the limiting spectral measure in the direction of an eigenvector of the perturbation. From the obtained results he derives two applications: one connected to the value of the outlier and the norm its associated eigenvector projection in the direction of the spike, and one connected to the properties of the projection of non-outlier eigenvectors in the direction of the spike.
- Large deviations for spectral measures of some spiked matrices
- Mesoscopic perturbations of large random matrices
- Spiked sample covariance matrices with possibly multiple bulk components
- Eigenvalues of large sample covariance matrices of spiked population models
- Fluctuations and large deviations of some perturbed random matrices
- Additive/multiplicative free subordination property and limiting eigenvectors of spiked additive deformations of Wigner matrices and spiked sample covariance matrices
- Analysis of the limiting spectral distribution of large dimensional random matrices
- Anisotropic local laws for random matrices
- Bulk universality for deformed Wigner matrices
- Eigenvector dynamics under free addition
- Eigenvectors of some large sample covariance matrix ensembles
- Empirical spectral distribution of a matrix under perturbation
- Local semicircle law for Wigner matrices
- No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
- On asymptotics of eigenvectors of large sample covariance matrix
- On the free convolution with a semi-circular distribution
- On the principal components of sample covariance matrices
- Outliers in the spectrum of large deformed unitarily invariant models
- Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices
- Random Matrix Model for Free Meixner Laws
- Spectrum of deformed random matrices and free probability
- Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
- Sum rules and large deviations for spectral matrix measures
- The eigenvalues and eigenvectors of finite, low rank perturbations of large random matrices
- The eigenvalues of random symmetric matrices
- The outliers of a deformed Wigner matrix
- Spectra of sparse random matrices
- Limits of spiked random matrices. I
- Free convolution with a semicircular distribution and eigenvalues of spiked deformations of Wigner matrices
- Mesoscopic perturbations of large random matrices
- Large deviations for spectral measures of some spiked matrices
- Deformed ensembles of random matrices
- Asymptotic Theory of Eigenvectors for Random Matrices With Diverging Spikes
- Spiked multiplicative random matrices and principal components
- Freeness of type B and conditional freeness for random matrices
- On the linear independence of spikes and sines
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