Strong Elliptic Law

DOI10.1515/ROSE.1997.5.3.269MaRDI QIDQ4396352zbMATH OpenOpenAlexFDO

Authors Vyacheslav Girko

Publication date 14 June 1998

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rose.1997.5.3.269

zbMATH Keywords

\(V\)-transformcanonical equationeigenvalueHermitian matrixrandom matrixspectral functionstrong circular lawstrong elliptic law

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Strong limit theorems (60F15) Random operators and equations (aspects of stochastic analysis) (60H25)

Review text

Let \(\Xi=(\xi_{ij}^{(n)})\), \(i,j=1,\dots,n\), be a random non-selfadjoint random matrix whose pairs of entries \(\{\xi_{ij}^{(n)},\xi_{ji}^{(n)}\}\), \(i>j\), \(i,j=1,\dots,n\), are independent for every \(n\), \(E\xi_{ij}^{(n)}=0\) and let \(\lambda_1,\dots,\lambda_n\) be eigenvalues of \(\Xi\). Denote by \[ \nu_n(B)=n^{-1}\sum_{k=1}^n \chi\{\omega:\lambda_k\in B\}, \quad \nu_n(x,y)=n^{-1}\sum_{k=1}^n \chi\{\text{Re } \lambda_k<x\}\chi\{\text{Im } \lambda_k<y\} \] the normalized spectral functions, where \(\chi(\cdot)\) is the indicator function. Under some additional conditions on the densities of the real and the imaginary parts of \(\sqrt{n}\xi_{ij}^{(n)}\) and moment restrictions on \(\xi_{ij}^{(n)}\) it is possible to prove almost sure convergence of properly centered \(\nu_n(B)\) and \(\nu_n(x,y)\), i.e. the so-called strong circular and strong elliptic laws for \(\nu_n(B)\) and \(\nu_n(x,y)\), respectively. The author gives a historical review on the problem beginning from his papers published in the eighties. In the present paper weaker conditions for the fulfilment of the strong circular and strong elliptic laws are proposed as well as more general methods of proving. The methods are based on the modified \(V\)-transform of spectral functions, substitution of the determinant of the Gramm matrix, invariance principle for random matrices and the so-called reform method introduced by the author.

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