The eigenvectors of Gaussian matrices with an external source

MaRDI QIDQ6257534zbMATH OpenFDO

Authors Romain Allez, Joël Bun, Jean-Philippe Bouchaud

Publication date 22 December 2014

Abstract: We consider a diffusive matrix process $(X_t{)}_{tge0}$ defined as $X_t:=A+H_t$ where $A$ is a given deterministic Hermitian matrix and $(H_t{)}_{tge0}$ is a Hermitian Brownian motion. The matrix $A$ is the "external source" that one would like to estimate from the noisy observation $X_t$ at some time $t>0$. We investigate the relationship between the non-perturbed eigenvectors of the matrix $A$ and the perturbed eigenstates at some time $t$ for the three relevant scaling relations between the time $t$ and the dimension $N$ of the matrix $X_t$. We determine the asymptotic (mean-squared) projections of any given non-perturbed eigenvector $|ps{i}_j^{0}angle$, associated to an eigenvalue $a_j$ of $A$ which may lie inside the bulk of the spectrum or be isolated (spike) from the other eigenvalues, on the orthonormal basis of the perturbed eigenvectors $|ps{i}_i^{t}angle,ieqj$. We derive a Burgers type evolution equation for the local resolvent $(z-X_t{)}_{ii}^{-1}$, describing the evolution of the local density of a given initial state $|ps{i}_j^{0}angle$. We are able to solve this equation explicitly in the large $N$ limit, for any initial matrix $A$. In the case of one isolated eigenvector $|ps{i}_j^{0}angle$, we prove a central limit Theorem for the overlap $langleps{i}_j^0|ps{i}_j^{t}angle$. When properly centered and rescaled by a factor $sqrtN$, this overlap converges in law towards a centered Gaussian distribution with an explicit variance depending on $t$. Our method is based on analyzing the eigenvector flow under the Dyson Brownian motion.

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