Sum rules via large deviations
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Orthogonal functions and polynomials, general theory of nontrigonometric harmonic analysis (42C05) Hermitian and normal operators (spectral measures, functional calculus, etc.) (47B15) Jacobi (tridiagonal) operators (matrices) and generalizations (47B36) Random linear operators (47B80) Random matrices (probabilistic aspects) (60B20)
Abstract: In this paper, a sum rule means a relationship between a functional defined on a subset of all probability measures on involving the reverse Kullback-Leibler divergence with respect to a particular distribution and recursion coefficients related to the orthogonal polynomial construction. The first sum rule is the SzegH{o}-Verblunsky theorem (see Simon (2011) Theorem 1.8.6 p. 29) and concerns the case of trigonometrical polynomials on the torus. More recently, Killip and Simon (2003) have given a revival interest to this subject by showing a quite surprising sum rule for measures dominating the semicircular distribution. Indeed, this sum rule includes a contribution of the atomic part of the measure away from the support of the circular law. In this paper, we recover this sum rules by using only large deviations tools on random matrices. Furthermore, we obtain new (up to our knowledge) magic sum rules for the reverse Kullback-Leibler divergence with respect to the Pastur-Marchenko or Kesten-McKay distributions. As in the semicircular case, these formulas generally include a contribution of the atomic part appearing away from the support of the reference measure. From the point of view of large deviations, we obtain these formulas by showing a large deviation principle for the point mass measure concentrated on random eigenvalues of classical ensembles and combine it with a large deviation principle due to Gamboa Rouault (2011) for the recursion coefficients.
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Cites work
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Cited in
(22)- An algebra model for the higher-order sum rules
- Large deviations and sum rules for spectral theory: a pedagogical approach
- Large deviations and the Lukic conjecture
- Sum rules and large deviations for spectral matrix measures
- Universality in random moment problems
- ^2 bounded variation and absolutely continuous spectrum of Jacobi matrices
- Fast sampling from \(\beta \)-ensembles
- A functional CLT for partial traces of random matrices
- Sum rules via large deviations: extension to polynomial potentials and the multi-cut regime
- Dimension results for the spectral measure of the circular ensembles
- Random moment problems under constraints
- Spectra of Jacobi operators via connection coefficient matrices
- Sum rules and large deviations for spectral measures on the unit circle
- Operator-valued spectral measures and large deviations
- Computing Spectral Measures of Self-Adjoint Operators
- Large deviations for spectral measures of some spiked matrices
- Twelve tales in mathematical physics: An expanded Heineman prize lecture
- Large deviations and a new sum rule for spectral matrix measures of the Jacobi ensemble
- Rare events in random matrix theory
- Freeness of type B and conditional freeness for random matrices
- Nonstandard limit theorems and large deviation for -Jacobi ensembles with a different scaling
- Unconditional large deviation principles for Dirichlet posterior and Bayesian bootstrap
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