We study the product $P_m$ of $m$ real Ginibre matrices with Gaussian elements of size $N$, which has received renewed interest recently. Its eigenvalues, which are either real or come in complex conjugate pairs, become all real with probability one when $m\to\infty$ at fixed $N$. In this regime the statistics becomes deterministic and the Lyapunov spectrum has been derived long ago. On the other hand, when $N\to\infty$ and $m$ is fixed, it can be expected that away from the origin the same local statistics as for a single real Ginibre ensemble at $m=1$ prevails. Inspired by analogous findings for products of complex Ginibre matrices, we introduce a critical scaling regime when the two parameters are proportional, $m=αN$. We derive the expected number, variance and rescaled density of real eigenvalues in this critical regime. This allows us to interpolate between previous recent results in the above mentioned limits when $α\to\infty$ and $α\to0$, respectively.
Consider a random matrix of size $N$ as an additive deformation of the complex Ginibre ensemble under a deterministic matrix $X_0$ with a finite rank, independent of $N$. When some eigenvalues of $X_0$ separate from the unit disk, outlier eigenvalues may appear asymptotically in the same locations, and their fluctuations exhibit surprising phenomena that highly depend on the Jordan canonical form of $X_0$. These findings are largely due to Benaych-Georges and Rochet \cite{BR}, Bordenave and Capitaine \cite{BC16}, and Tao \cite{Ta13}. When all eigenvalues of $X_0$ lie inside the unit disk, we p…
This paper is concerned with the explicit computation of the limiting distribution function of the largest real eigenvalue in the real Ginibre ensemble when each real eigenvalue has been removed independently with constant likelihood. We show that the recently discovered integrable structures in \cite{BB} generalize from the real Ginibre ensemble to its thinned equivalent. Concretely, we express the aforementioned limiting distribution function as a convex combination of two simple Fredholm determinants and connect the same function to the inverse scattering theory of the Zakharov-Shabat syste…
In this note, we show that the Lyapunov exponents of mixed products of random truncated Haar unitary and complex Ginibre matrices are asymptotically given by equally spaced `picket-fence' statistics. We discuss how these statistics should originate from the connection between random matrix products and multiplicative Brownian motion on $\operatorname{GL}_n(\mathbb{C})$, analogous to the connection between discrete random walks and ordinary Brownian motion. Our methods are based on contour integral formulas for products of classical matrix ensembles from integrable probability.
We analyse statistics of the real eigenvalues of gl(N,R)-valued Brownian motion (the 'Ginibre evolution') in the limit of large $N$. In particular, we calculate the limiting two-time correlation function of spin variables associated with real eigenvalues of the Ginibre evolution. We also show how the formalism of spin variables can be used to compute the fixed time correlation functions of real eigenvalues discovered originally by Forrester and Nagao and Borodin and Sinclair.
We study the overlaps between eigenvectors of nonnormal matrices. They quantify the stability of the spectrum, and characterize the joint eigenvalues increments under Dyson-type dynamics. Well known work by Chalker and Mehlig calculated the expectation of these overlaps for complex Ginibre matrices. For the same model, we extend their results by deriving the distribution of diagonal overlaps (the condition numbers), and their correlations. We prove: (i) convergence of condition numbers for bulk eigenvalues to an inverse Gamma distribution; more generally, we decompose the quenched overlap (i.e…
Let $\sqrt{N}+λ_{max}$ be the largest real eigenvalue of a random $N\times N$ matrix with independent $N(0,1)$ entries (the `real Ginibre matrix'). We study the large deviations behaviour of the limiting $N\rightarrow \infty$ distribution $P[λ_{max}<t]$ of the shifted maximal real eigenvalue $λ_{max}$. In particular, we prove that the right tail of this distribution is Gaussian: for $t>0$, \[ P[λ_{max}<t]=1-\frac{1}{4}\mbox{erfc}(t)+O\left(e^{-2t^2}\right). \] This is a rigorous confirmation of the corresponding result of Forrester and Nagao. We also prove that the left tail is exponential: fo…
Recently, the joint probability density functions of complex eigenvalues for products of independent complex Ginibre matrices have been explicitly derived as determinantal point processes. We express truncated series coming from the correlation kernels as multivariate integrals with singularity and investigate saddle point method for such a type of integrals. As an application, we prove that the eigenvalue correlation functions have the same scaling limits as those of the single complex Ginibre ensemble, both in the bulk and at the edge of the spectrum. We also prove that the similar results h…
The real Ginibre ensemble consists of $n\times n$ real matrices ${\bf X}$ whose entries are i.i.d. standard normal random variables. In sharp contrast to the complex and quaternion Ginibre ensemble, real eigenvalues in the real Ginibre ensemble attain positive likelihood. In turn, the spectral radius $R_n=\max_{1\leq j\leq n}|z_j({\bf X})|$ of the eigenvalues $z_j({\bf X})\in\mathbb{C}$ of a real Ginibre matrix ${\bf X}$ follows a different limiting law (as $n\rightarrow\infty$) for $z_j({\bf X})\in\mathbb{R}$ than for $z_j({\bf X})\in\mathbb{C}\setminus\mathbb{R}$. Building on previous work b…
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…
We consider the non-hermitian matrix-valued process of Elliptic Ginibre ensemble. This model includes Dyson's Brownian motion model and the time evolution model of Ginibre ensemble by using hermiticity parameter. We show the complex eigenvalue processes satisfy the stochastic differential equations which are very similar to Dyson's model and give an explicit form of overlap correlations. As a corollary, in the case of 2-by-2 matrix, we also mention the relation between the diagonal overlap, which is the speed of eigenvalues, and the distance of the two eigenvalues.
We consider products of independent random matrices taken from the induced Ginibre ensemble with complex or quaternion elements. The joint densities for the complex eigenvalues of the product matrix can be written down exactly for a product of any fixed number of matrices and any finite matrix size. We show that the squared absolute values of the eigenvalues form a permanental process, generalising the results of Kostlan and Rider for single matrices to products of complex and quaternionic matrices. Based on these findings, we can first write down exact results and asymptotic expansions for th…
Formulae of Plancherel-Rotach type are established for the average characteristic polynomials of certain Hermitian products of rectangular Ginibre random matrices on the region of zeros. These polynomials form a general class of multiple orthogonal hypergeometric polynomials generalizing the classical Laguerre polynomials. The proofs are based on a multivariate version of the complex method of saddle points. After suitable rescaling the asymptotic zero distributions for the polynomials are studied and shown to coincide with the Fuss-Catalan distributions. Moreover, introducing appropriate coor…
This is part II of a review relating to the three classes of random non-Hermitian Gaussian matrices introduced by Ginibre in 1965. While part I restricted attention to the GinUE (Ginibre unitary ensemble) case of complex elements, in this part the cases of real elements (GinOE, denoting Ginibre orthogonal ensemble) and quaternion elements represented as $2 \times 2$ complex blocks (GinSE, denoting Ginibre symplectic ensemble) are considered. The eigenvalues of both GinOE and GinSE form Pfaffian point processes, which are more complicated than the determinantal point processes resulting from Gi…
In this paper we study the limiting distribution of the $k$ smallest gaps between eigenvalues of three kinds of random matrices -- the Ginibre ensemble, the Wishart ensemble and the universal unitary ensemble. All of them follow a Poissonian ansatz. More precisely, for the Ginibre ensemble we have a global result in which the $k$-th smallest gap has typical length $n^{-3/4}$ with density $x^{4k-1}e^{-x^4}$ after normalization. For the Wishart and the universal unitary ensemble, it has typical length $n^{-4/3}$ and has density $x^{3k-1}e^{-x^3}$ after normalization.
We show that the distribution of bulk spacings between pairs of adjacent eigenvalue real parts of a random matrix drawn from the complex elliptic Ginibre ensemble is asymptotically given by a generalization of the Gaudin-Mehta distribution, in the limit of weak non-Hermiticity. The same generalization is expressed in terms of an integro-differential Painlevé function and it is shown that the generalized Gaudin-Mehta distribution describes the crossover, with increasing degree of non-Hermiticity, from Gaudin-Mehta nearest-neighbor bulk statistics in the Gaussian Unitary Ensemble to Poisson gap …
We study continuum percolation on certain negatively dependent point processes on \R^2. Specifically, we study the Ginibre ensemble and the planar Gaussian zero process, which are the two main natural models of translation invariant point processes on the plane exhibiting local repulsion. For the Ginibre ensemble, we establish the uniqueness of infinite cluster in the supercritical phase. For the Gaussian zero process, we establish that a non-trivial critical radius exists, and we prove the uniqueness of infinite cluster in the supercritical regime.
We suggest a method of studying the joint probability density (JPD) of an eigenvalue and the associated 'non-orthogonality overlap factor' (also known as the 'eigenvalue condition number') of the left and right eigenvectors for non-selfadjoint Gaussian random matrices of size $N\times N$. First we derive the general finite $N$ expression for the JPD of a real eigenvalue $λ$ and the associated non-orthogonality factor in the real Ginibre ensemble, and then analyze its 'bulk' and 'edge' scaling limits. The ensuing distribution is maximally heavy-tailed, so that all integer moments beyond normali…
We study the images of the complex Ginibre eigenvalues under the power maps $π_M: z \mapsto z^M$, for any integer $M$. We establish the following equality in distribution, $$ {\rm{Gin}}(N)^M \stackrel{d}{=} \bigcup_{k=1}^M {\rm{Gin}} (N,M,k), $$ where the so-called Power-Ginibre distributions ${\rm{Gin}}(N,M,k)$ form $M$ independent determinantal point processes. The decomposition can be extended to any radially symmetric normal matrix ensemble, and generalizes Rains' superposition theorem for the CUE and Kostlan's independence of radii to a wider class of point processes. Our proof technique …
We consider the eigenvalues of a large dimensional real or complex Ginibre matrix in the region of the complex plane where their real parts reach their maximum value. This maximum follows the Gumbel distribution and that these extreme eigenvalues form a Poisson point process, asymptotically as the dimension tends to infinity. In the complex case these facts have already been established by Bender \cite{MR2594353} and in the real case by Akemann and Phillips \cite{MR3192169} even for the more general elliptic ensemble with a sophisticated saddle point analysis. The purpose of this note is to gi…
We consider the mixed-moments $φ(\mathbf{X}^{ε_1},\ldots,\mathbf{X}^{ε_k})=\lim_{N\to\infty}N^{-1}\mathbb{E}\left[\mathrm{Tr}\left(\mathbf{X}^ε_1\cdots\mathbf{X}^{ε_k}\right)\right]$ of complex Gaussian Elliptic Matrices $\mathbf{X}$ (with correlation parameter $ρ$ between elements $\mathbf{X}_{ij}$ and $\mathbf{X}_{ji}^*$), where symbolically $ε_i\in\{1,\dagger\}$, and where the expectation $\mathbb{E}\left[\cdot\right]$ is taken over all matrices $\mathbf{X}$. We start by finding an explicit formula for $φ(\mathbf{X}^n,(\mathbf{X}^\dagger)^m)$, $n,m\in\mathbb{N}$, by using a mapping between …
The Ginibre unitary ensemble (GinUE) consists of $N \times N$ random matrices with independent complex standard Gaussian entries. This was introduced in 1965 by Ginbre, who showed that the eigenvalues form a determinantal point process with an explicit correlation kernel, and after scaling they are supported on the unit disk with constant density. For some time now it has been appreciated that GinUE has a fundamental place within random matrix theory, both for its applications and for the richness of its theory. Here we review the progress on a number of themes relating to the study of GinUE. …
In this paper, we study the product of two complex Ginibre matrices and the loop equations satisfied by their resolvents (i.e. the Stieltjes transform of the correlation functions). We obtain using Schwinger-Dyson equation (SDE) techniques the general loop equations satisfied by the resolvents. In order to deal with the product structure of the random matrix of interest, we consider SDEs involving the integral of higher derivatives. One of the advantage of this technique is that it bypasses the reformulation of the problem in terms of singular values. As a byproduct of this study we obtain the…
We derive a precise asymptotic formula for the density of the small singular values of the real Ginibre matrix ensemble shifted by a complex parameter $z$ as the dimension tends to infinity. For $z$ away from the real axis the formula coincides with that for the complex Ginibre ensemble we derived earlier in [arXiv:1908.01653]. On the level of the one-point function of the low lying singular values we thus confirm the transition from real to complex Ginibre ensembles as the shift parameter $z$ becomes genuinely complex; the analogous phenomenon has been well known for eigenvalues. We use the s…
We continue the study of joint statistics of eigenvectors and eigenvalues initiated in the seminal papers of Chalker and Mehlig. The principal object of our investigation is the expectation of the matrix of overlaps between the left and the right eigenvectors for the complex $N\times N$ Ginibre ensemble, conditional on an arbitrary number $k=1,2,\ldots$ of complex eigenvalues.These objects provide the simplest generalisation of the expectations of the diagonal overlap ($k=1$) and the off-diagonal overlap ($k=2$) considered originally by Chalker and Mehlig. They also appear naturally in the pro…
In the recent publication [E. Kanzieper and G. Akemann, Phys. Rev. Lett. 95, 230201 (2005); arXiv: math-ph/0507058], an exact solution was reported for the probability "p_{n,k}" to find exactly "k" real eigenvalues in the spectrum of an "n" by "n" real asymmetric matrix drawn at random from Ginibre's Orthogonal Ensemble (GinOE). In the present paper, we offer a detailed derivation of the above result by concentrating on the proof of the Pfaffian integration theorem, the key ingredient of our analysis of the statistics of real eigenvalues in the GinOE. We also initiate a study of the correlatio…
We establish a few properties of eigenvalues and eigenvectors of the quaternionic Ginibre ensemble (QGE), analogous to what is known in the complex Ginibre case. We first recover a version of Kostlan's theorem that was already noticed by Rider: the set of the squared radii of the eigenvalues is distributed as a set of independent gamma variables. Our proof technique uses the De Bruijn identity and properties of Pfaffians; it also allows to prove that the high powers of these eigenvalues are independent. These results extend to any potential beyond the Gaussian case, as long as radial symmetry …
The complex Ginibre ensemble is an $N\times N$ non-Hermitian random matrix over $\mathbb{C}$ with i.i.d. complex Gaussian entries normalized to have mean zero and variance $1/N$. Unlike the Gaussian unitary ensemble, for which the eigenvectors are distributed according to Haar measure on the compact group $U(N)$, independently of the eigenvalues, the geometry of the eigenbases of the Ginibre ensemble are not particularly well understood. In this paper we systematically study properties of eigenvector correlations in this matrix ensemble. In particular, we uncover an extended algebraic structur…
We prove that, for general test functions, the limiting behavior of the linear statistic of an independent entry random matrix is determined only by the first four moments of the entry distributions. This immediately generalizes the known central limit theorem for independent entry matrices with complex normal entries. We also establish two central limit theorems for matrices with real normal entries, considering separately functions supported exclusively on and exclusively away from the real line. In contrast to previously obtained results in this area, we do not impose analyticity on test fu…
Let $Π$ be a translation invariant point process on the complex plane $\C$ and let $\D \subset \C$ be a bounded open set whose boundary has zero Lebesgue measure. We study the conditional distribution of the points of $Π$ inside $\D$ given the points outside $\D$. When $Π$ is the Ginibre ensemble or the Gaussian zero process, it been shown in \cite{GP} that this conditional distribution is mutually absolutely continuous with the Lebesgue measure on its support. In this paper, we refine the result in \cite{GP} to show that the conditional density is, roughly speaking, comparable to a squared Va…
Akemann, Ipsen and Kieburg recently showed 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 can be expressed in terms of Meijer G-functions. We show that this point process can be interpreted as a multiple orthogonal polynomial ensemble. We give integral representations for the relevant multiple orthogonal polynomials and a new double contour integral for the correlation kernel, which allows us to find its scaling limits at the origin …
The real Ginibre ensemble refers to the family of $n\times n$ matrices in which each entry is an independent Gaussian random variable of mean zero and variance one. Our main result is that the appropriately scaled spectral radius converges in law to a Gumbel distribution as $n\rightarrow\infty$. This fact has been known to hold in the complex and quaternion analogues of the ensemble for some time, with simpler proofs. Along the way we establish a new form for the limit law of the largest real eigenvalue.
We study the least singular value of the $n\times n$ matrix $H-z$ with $H=A_0+H_0$, where $H_0$ is drawn from the complex Ginibre ensemble of matrices with iid Gaussian entries, and $A_0$ is some general $n\times n$ matrix with complex entries (it can be random and in this case it is independent of $H_0$). Assuming some rather general assumptions on $A_0$, we prove an optimal tail estimate on the least singular value in the regime where $z$ is around the spectral edge of $H$ thus generalize the recent result of Cipolloni, Erdős, Schröder arxiv:1908.01653 to the case $A_0\ne 0$. The result impr…
We study the limiting distribution of the eigenvalues of the Ginibre ensemble conditioned on the event that a certain proportion lie in a given region of the complex plane. Using an equivalent formulation as an obstacle problem, we describe the optimal distribution and some of its monotonicity properties.
We derive an accurate lower tail estimate on the lowest singular value $σ_1(X-z)$ of a real Gaussian (Ginibre) random matrix $X$ shifted by a complex parameter $z$. Such shift effectively changes the upper tail behaviour of the condition number $κ(X-z)$ from the slower $\mathbf{P}(κ(X-z)\ge t)\lesssim 1/t$ decay typical for real Ginibre matrices to the faster $1/t^2$ decay seen for complex Ginibre matrices as long as $z$ is away from the real axis. This sharpens and resolves a recent conjecture in [arXiv:2005.08930] on the regularizing effect of the real Ginibre ensemble with a genuinely compl…
We prove the universal asymptotically almost sure non-singularity of general Ginibre and Wigner ensembles of random matrices when the distribution of the entries are independent but not necessarily identically distributed and may depend on the size of the matrix. These models include adjacency matrices of random graphs and also sparse, generalized, universal and banded random matrices. We find universal rates of convergence and precise estimates for the probability of singularity which depend only on the size of the biggest jump of the distribution functions governing the entries of the matrix…
Products of $M$ i.i.d. non-Hermitian random matrices of size $N \times N$ relate Gaussian fluctuation of Lyapunov and stability exponents in dynamical systems (finite $N$ and large $M$) to local eigenvalue universality in random matrix theory (finite $M$ and large $N$). The remaining task is to study local eigenvalue statistics as $M$ and $N$ tend to infinity simultaneously, which lies at the heart of understanding two kinds of universal patterns. For products of i.i.d. complex Ginibre matrices, truncated unitary matrices and spherical ensembles, as $M+N\to \infty$ we prove that local statisti…
We consider the squared singular values of the product of $M$ standard complex Gaussian matrices. Since the squared singular values form a determinantal point process with a particular Meijer G-function kernel, the gap probabilities are given by a Fredholm determinant based on this kernel. It was shown by Strahov \cite{St14} that a hard edge scaling limit of the gap probabilities is described by Hamiltonian differential equations which can be formulated as an isomonodromic deformation system similar to the theory of the Kyoto school. We generalize this result to the case of finite matrices by …
Let X be a translation invariant point process on the complex plane and let D be a bounded open set whose boundary has zero Lebesgue measure. We ask what does the point configuration obtained by taking the points of X outside D tell us about the point configuration inside D? We show that for the Ginibre ensemble, it determines the number of points in D. For the translation-invariant zero process of a planar Gaussian Analytic Function, we show that it determines the number as well as the centre of mass of the points in D. Further, in both models we prove that the outside says "nothing more" abo…
For a fixed quadratic polynomial $\mathfrak{p}$ in $n$ non-commuting variables, and $n$ independent $N\times N$ complex Ginibre matrices $X_1^N,\dots, X_n^N$, we establish the convergence of the empirical spectral distribution of $P^N =\mathfrak{p}(X_1^N,\dots, X_n^N)$ to the Brown measure of $\mathfrak{p}$ evaluated at $n$ freely independent circular elements $c_1,\dots, c_n$ in a non-commutative probability space. The main step of the proof is to obtain quantitative control on the pseudospectrum of $P^N$. Via the well-known linearization trick this hinges on anti-concentration properties for…
