We consider large non-Hermitian real or complex random matrices $X$ with independent, identically distributed centred entries. We prove that their local eigenvalue statistics near the spectral edge, the unit circle, coincide with those of the Ginibre ensemble, i.e. when the matrix elements of $X$ are Gaussian. This result is the non-Hermitian counterpart of the universality of the Tracy-Widom distribution at the spectral edges of the Wigner ensemble.
We study the universality of the local eigenvalue statistics of Gaussian divisible Hermitian Wigner matrices. These random matrices are obtained by adding an independent GUE matrix to an Hermitian random matrix with independent elements, a Wigner matrix. We prove that Tracy-Widom universality holds at the edge in this class of random matrices under the optimal moment condition that there is a uniform bound on the fourth moment of the matrix elements. Furthermore, we show that universality holds in the bulk for Gaussian divisible Wigner matrices if we just assume finite second moments.
Consider an $N\times N$ hermitian random matrix with independent entries, not necessarily Gaussian, a so called Wigner matrix. It has been conjectured that the local spacing distribution, i.e. the distribution of the distance between nearest neighbour eigenvalues in some part of the spectrum is, in the limit as $N\to\infty$, the same as that of hermitian random matrices from GUE. We prove this conjecture for a certain subclass of hermitian Wigner matrices.
We consider the non-Hermitian analogue of the celebrated Wigner-Dyson-Mehta bulk universality phenomenon, i.e. that in the bulk the local eigenvalue statistics of a large random matrix with independent, identically distributed centred entries are universal, in particular they asymptotically coincide with those of the Ginibre ensemble in the corresponding symmetry class. In this paper we reduce this problem to understanding a certain microscopic regime for the Hermitized resolvent in Girko's formula by showing that all other regimes are negligible.
We prove the Wigner-Dyson-Mehta conjecture at fixed energy in the bulk of the spectrum for generalized symmetric and Hermitian Wigner matrices. Previous results concerning the universality of random matrices either require an averaging in the energy parameter or they hold only for Hermitian matrices if the energy parameter is fixed. We develop a homogenization theory of the Dyson Brownian motion and show that microscopic universality follows from mesoscopic statistics.
We study multiplicative statistics for the eigenvalues of unitarily-invariant Hermitian random matrix models. We consider one-cut regular polynomial potentials and a large class of multiplicative statistics. We show that in the large matrix limit several associated quantities converge to limits which are universal in both the potential and the family of multiplicative statistics considered. In turn, such universal limits are described by the integro-differential Painlevé II equation, and in particular they connect the random matrix models considered with the narrow wedge solution to the KPZ eq…
We explore the boundaries of sine kernel universality for the eigenvalues of Gaussian perturbations of large deterministic Hermitian matrices. Equivalently, we study for deterministic initial data the time after which Dyson's Brownian motion exhibits sine kernel correlations. We explicitly describe this time span in terms of the limiting density and rigidity of the initial points. Our main focus lies on cases where the initial density vanishes at an interior point of the support. We show that the time to reach universality becomes larger if the density vanishes faster or if the initial points …
We study the fluctuations associated to the a.s. convergence, established by Belinschi-Bercovici-Capitaine, of the outliers of an Hermitian polynomial in a complex Wigner matrix and a spiked deterministic real diagonal matrix. Thus, we extend the non universality phenomenon previously established for additive deformations of complex Wigner matrices, to any Hermitian polynomial. The result is described using the operator-valued subordination functions of free probability theory.
We prove the universality for the eigenvalue gap statistics in the bulk of the spectrum for band matrices, in the regime where the band width is comparable with the dimension of the matrix, $W\sim N$. All previous results concerning universality of non-Gaussian random matrices are for mean-field models. By relying on a new mean-field reduction technique, we deduce universality from quantum unique ergodicity for band matrices.
We consider ensembles of $N \times N$ Hermitian Wigner matrices, whose entries are (up to the symmetry constraints) independent and identically distributed random variables. Assuming sufficient regularity for the probability density function of the entries, we show that the expectation of the density of states on {\it arbitrarily} small intervals converges to the semicircle law, as $N$ tends to infinity.
We consider the ensemble of $n \times n$ Wigner hermitian matrices $H = (h_{\ell k})_{1 \leq \ell,k \leq n}$ that generalize the Gaussian unitary ensemble (GUE). The matrix elements $h_{k\ell} = \bar h_{\ell k}$ are given by $h_{\ell k} = n^{-1/2} (x_{\ell k} + \sqrt{-1} y_{\ell k})$, where $x_{\ell k}, y_{\ell k}$ for $1 \leq \ell < k \leq n$ are i.i.d. random variables with mean zero and variance 1/2, $y_{\ell\ell}=0$ and $x_{\ell \ell}$ have mean zero and variance 1. We assume the distribution of $x_{\ell k}, y_{\ell k}$ to have subexponential decay. In a recent paper, four of the authors r…
We consider the adjacency matrix of the ensemble of Erdős-Rényi random graphs which consists of graphs on $N$ vertices in which each edge occurs independently with probability $p$. We prove that in the regime $pN \gg 1$ these matrices exhibit bulk universality in the sense that both the averaged $n$-point correlation functions and distribution of a single eigenvalue gap coincide with those of the GOE. Our methods extend to a class of random matrices which includes sparse ensembles whose entries have different variances.
We prove that when suitably normalized, small enough powers of the absolute value of the characteristic polynomial of random Hermitian matrices, drawn from one-cut regular unitary invariant ensembles, converge in law to Gaussian multiplicative chaos measures. We prove this in the so-called $L^2$-phase of multiplicative chaos. Our main tools are asymptotics of Hankel determinants with Fisher-Hartwig singularities. Using Riemann-Hilbert methods, we prove a rather general Fisher-Hartwig formula for one-cut regular unitary invariant ensembles.
We prove the edge and bulk universality of random Hermitian matrices with equi-spaced external source. One feature of our method is that we use neither a Christoffel-Darboux type formula, nor a double-contour formula, which are standard methods to prove universality results for exactly solvable models. This matrix model is an example of a biorthogonal ensemble, which is a special kind of determinantal point process whose kernel generally does not have a Christoffel-Darboux type formula or double-contour representation. Our methods may showcase how to handle universality problems for biorthogon…
R-transforms for non-Hermitian matrices: a spherical integral approach
Econophysics Lab, Institut Louis Bachelier（经济物理实验室，路易·巴舍利耶研究所）；LadHyX, UMR CNRS 7646, Ecole Polytechnique, Institut Polytechnique de Paris（拉迪希克斯实验室，法国国家科学研究中心联合研究单位第7646号，巴黎综合理工学院，巴黎理工学院）；Capital Fund Management（资本基金管理公司）
R-transforms for non-Hermitian block random matrices: a spherical integral approach
Institut Louis Bachelier（路易·巴舍利耶研究所）；Econophysics Lab, Institut Louis Bachelier（经济物理学实验室，路易·巴舍利耶研究所）；LadHyX, UMR CNRS 7646, École polytechnique, Institut Polytechnique de Paris（拉迪克斯实验室，法国国家科学研究中心联合研究单位7646，巴黎综合理工学院，巴黎理工学院）
We compare the Ornstein-Uhlenbeck process for the Gaussian Unitary Ensemble to its non-hermitian counterpart - for the complex Ginibre ensemble. We exploit the mathematical framework based on the generalized Green's functions, which involves a new, hidden complex variable, in comparison to the standard treatment of the resolvents. This new variable turns out to be crucial to understand the pattern of the evolution of non-hermitian systems. The new feature is the emergence of the coupling between the flow of eigenvalues and that of left/right eigenvectors. We analyze local and global equilibria…
It has been shown by Akemann, Ipsen and Kieburg that the squared singular values of products of $M$ rectangular random matrices with independent complex Gaussian entries are distributed according to a determinantal point process with a correlation kernel that admits a representation in terms of Meijer G-functions. We prove the universality of the local statistics of the squared singular values, namely, the bulk universality given by the sine kernel and the edge universality given by the Airy kernel. The proof is based on the asymptotic analysis for the double contour integral representation of…
In this short note we address a gaussian property of normal vectors in random non-Hermitian matrices. The approach uses a simple geometric and comparison technique.
We are going to study the limiting spectral measure of fixed dimensional Hermitian block-matrices with large dimensional Wigner blocks. We are going also to identify the limiting spectral measure when the Hermitian block-structure is Circulant. Using the limiting spectral measure of a Hermitian Circulant block-matrix we will show that the spectral measure of a Wigner matrix with $k-$weakly dependent entries need not to be the semicircle law in the limit.
We compute the limiting eigenvalue statistics at the edge of the spectrum of large Hermitian random matrices perturbed by the addition of small rank deterministic matrices. To be more precise, we consider random Hermitian matrices with independent Gaussian entries $M_{ij}, i\leq j$ with various expectations. We prove that the largest eigenvalue of such random matrices exhibits, in the large $N$ limit, various limiting distributions depending on both the eigenvalues of the matrix $(\mathbb{E}M_{ij})_{i,j=1}^N$ and its rank.
We investigate the product of $n$ complex non-Hermitian, independent random matrices, each of size $N\times N$ in the class of elliptic matrices, with independent identically distributed entries. The joint probability distribution of the complex eigenvalues of the product matrix is found to be given by a determinantal point process.
The problem of estimating the smallest singular value of random square matrices is important in connection with matrix computations and analysis of the spectral distribution. In this survey, we consider recent developments in the study of quantitative invertibility in the non-Hermitian setting, and review some applications of this line of research.
In this short note, we revisit the work of T. Tao and V. Vu on large non-hermitian random matrices with independent and identically distributed entries with mean zero and unit variance. We prove under weaker assumptions that the limit spectral distribution of sum and product of non-hermitian random matrices is universal. As a byproduct, we show that the generalized eigenvalues distribution of two independent matrices converges almost surely to the uniform measure on the Riemann sphere.
In this paper, we consider the universality of the local eigenvalue statistics of random matrices. Our main result shows that these statistics are determined by the first four moments of the distribution of the entries. As a consequence, we derive the universality of eigenvalue gap distribution and $k$-point correlation and many other statistics (under some mild assumptions) for both Wigner Hermitian matrices and Wigner real symmetric matrices.
We prove a local law for eigenvalues of the random Hermitian matrices with external source $W_n=\frac{1}{n}X_n+A_n$ where $X_n$ is Wigner matrix and $A_n$ is diagonal matrix with only two values $a, -a$ on the diagonal. The local law is an essential step to prove the universality conjecture for this random matrix model.
Consider an $n \times n$ non-Hermitian random matrix $M_n$ whose entries are independent real random variables. Under suitable conditions on the entries, we study the fluctuations of the entries of $f(M_n)$ as $n$ tends to infinity, where $f$ is analytic on an appropriate domain. This extends the results for symmetric random matrices to the non-Hermitian case.
We give abstract versions of the large deviation theorem for the distribution of zeros of polynomials and apply them to the characteristic polynomials of Hermitian random matrices. We obtain new estimates related to the local semi-circular law for the empirical spectral distribution of these matrices when the 4th moments of their entries are controlled.
In this paper, convergence rates of the spectral distributions of quaternion self-dual Hermitian matrices are investigated. We show that under conditions of finite 6th moments, the expected spectral distribution of a large quaternion self-dual Hermitian matrix converges to the semicircular law in a rate of $O(n^{-1/2})$ and the spectral distribution itself converges to the semicircular law in rates $O_p(n^{-2/5})$ and $O_{a.s.}(n^{-2/5+η})$. Those results include GSE as a special case.
We study the Brown measure of certain non-hermitian operators arising from Voiculescu's free probability theory. Usually those operators appear as the limit in *-moments of certain ensembles of non-hermitian random matrices, and the Brown measure gives then a canonical candidate for the limit eigenvalue distribution of the random matrices. A prominent class for our operators is given by polynomials in *-free variables. Other explicit examples include R-diagonal elements and elliptic elements, for which the Brown measure was already known, and a new class of triangular-elliptic elements. Our me…
We give a new, elementary proof of a key inequality used by Rudelson in the derivation of his well-known bound for random sums of rank-one operators. Our approach is based on Ahlswede and Winter's technique for proving operator Chernoff bounds. We also prove a concentration inequality for sums of random matrices of rank one with explicit constants.
In this paper, we survey some recent progress on rigorously establishing the universality of various spectral statistics of Wigner Hermitian random matrix ensembles, focusing on the Four Moment Theorem and its refinements and applications, including the universality of the sine kernel and the Central limit theorem of several spectral parameters. We also take the opportunity here to issue some errata for some of our previous papers in this area.
We consider products of independent square non-Hermitian random matrices. More precisely, let X(1),...,X(n) be random matrices with independent entries (real or complex with independent real and imaginary parts) with zero mean and variance 1/N. Soshnikov and O'Rourke showed that the empirical spectral distribution of the product X(1)X(2)..X(n) converges to the n-th power of the circular law. We prove that if the entries of the matrices X(1),...,X(n) satisfy uniform subexponential decay condition, then in the bulk the convergence of the ESD holds up to the optimal scale.
We study the universality of the eigenvalue statistics of the covariance matrices $\frac{1}{n}M^* M$ where $M$ is a large $p\times n$ matrix obeying condition $\bf{C1}$. In particular, as an application, we prove a variant of universality results regarding the smallest singular value of $M_{p,n}$. This paper is an extension of the results in \cite{tvcovariance} from the bulk of the spectrum up to the edge.
We describe the resolvent approach for the rigorous study of the mescoscopic regime of Hermitian matrix spectra. We present results reflecting the universal behavior of the smoothed density of eigenvalue distribution of large random matrices
We consider products of independent square random non-Hermitian matrices. More precisely, let $n\geq 2$ and let $X_1,\ldots,X_n$ be independent $N\times N$ random matrices with independent centered entries with variance $N^{-1}$. It was shown by Götze and Tikhomirov and by Soshnikov and O'Rourke that the limit of the empirical spectral distribution of the product $X_1\cdots X_n$ is supported in the unit disk. We prove that if the entries of the matrices $X_1,\ldots,X_n$ satisfy uniform subexponential decay condition, then the spectral radius of $X_1\cdots X_n$ converges to 1 almost surely as $…
We consider a square random matrix of size $N$ of the form $P(Y,A)$ where $P$ is a noncommutative polynomial, $A$ is a tuple of deterministic matrices converging in $\ast$-distribution, when $N$ goes to infinity, towards a tuple $a$ in some $\mathcal{C}^*$-probability space and $Y$ is a tuple of independent matrices with i.i.d. centered entries with variance $1/N$. We investigate the eigenvalues of $P(Y,A)$ outside the spectrum of $P(c,a)$ where $c$ is a circular system which is free from $a$. We provide a sufficient condition to guarantee that these eigenvalues coincide asymptotically with th…
We consider a Gaussian random matrix with correlated entries that have a power law decay of order $d>2$ and prove universality for the extreme eigenvalues. A local law is proved using the self-consistent equation combined with a decomposition of the matrix. This local law along with concentration of eigenvalues around the edge allows us to get an bound for extreme eigenvalues. Using a recent result of the Dyson-Brownian motion, we prove universality of extreme eigenvalues.
A central limit theorem (CLT) for the smoothed empirical spectral distribution of sample covariance matrices is established. Moreover, the CLTs for the smoothed quantiles of Marcenko and Pastur's law have been also developed.
We derive the universality principle for empirical spectral distributions of sample covariance matrices and their Stieltjes transforms. This principle states the following. Suppose quadratic forms of random vectors $y_p$ in $R^p$ satisfy a weak law of large numbers and the sample size grows at the same rate as $p$. Then the limiting spectral distribution of corresponding sample covariance matrices is the same as in the case with conditionally Gaussian $y_p$. This result is generalized for $m$-dependent martingale difference sequences and $m$-dependent linear processes.
In this note we describe the singular locus of diagonally-dominant Hermitian matrices with nonnegative diagonal entries over the reals, the complex numbers, and the quaternions. This yields explicit expressions for the probability that such matrices, chosen at random, are singular. For instance, in the case of the identity $n \times n$ matrix perturbed by a symmetric, zero-diagonal, $\{\pm 1/(n-1)\}$-Bernoulli matrix, this probability turns out to be equal to $2^{-(n-1)(n-2)/2}$. As a corollary, we find that the probability for a $n\times n$ symmetric $\{\pm 1\}$-Bernoulli matrix to have eigen…
We show that the set of entries generated by any finite set of doubly stochastic matrices is nowhere dense, in contrast to the cases of stochastic matrices or unitary matrices. In other words, there is no finite universal set of doubly stochastic matrices, even with the weakest notion of universality. Our proof is based on a theorem for topological semigroups with the convergent property. A topological semigroup is convergent if every infinite product converges. We show that in a compact and convergent semigroup, under some restrictions, the closure of every finitely generated subsemigroup can…
The aim of this paper is to prove a local version of the circular law for non-Hermitian random matrices and its generalization to the product of non-Hermitian random matrices under weak moment conditions. More precisely we assume that the entries $X_{jk}^{(q)}$ of non-Hermitian random matrices ${\bf X}^{(q)}, 1 \le j,k \le n, q = 1, \ldots, m, m \geq 1$ are i.i.d. r.v. with $\mathbb E X_{jk} =0, \mathbb E X_{jk}^2 = 1$ and $\mathbb E |X_{jk}|^{4+δ} < \infty$ for some $δ> 0$. It is shown that the local law holds on the optimal scale $n^{-1+2a}, a > 0$, up to some logarithmic factor. We further …
