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Fluctuation of Matrix Entries and Application to Outliers of Elliptic Matrices

Published online by Cambridge University Press:  20 November 2018

Florent Benaych-Georges ,
Guillaume Cébron  and
Jean Rochet
Florent Benaych-Georges
Affiliation:
Université Paris Descartes, 45, rue des Saints-Péres 75270 Paris Cedex 06, France e-mail: [email protected]
Guillaume Cébron
Affiliation:
IMT, Université Paul Sabatier, 118 Route de Narbonne 31062 Toulouse Cedex 04, France e-mail: [email protected]
Jean Rochet
Affiliation:
Université Paris Descartes, 45, rue des Saints-Péres 75270 Paris Cedex 06, France e-mail: [email protected]
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Abstract

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For any family of $N\,\times \,N$ random matrices ${{\left( {{\text{A}}_{k}} \right)}_{k\in K}}$ that is invariant, in law, under unitary conjugation, we give general sufficient conditions for central limit theorems for random variables of the type $\text{Tr}\left( {{\text{A}}_{k}}\text{M} \right)$, where the matrix $\text{M}$ is deterministic (such random variables include, for example, the normalized matrix entries of ${{\text{A}}_{k}}$). A consequence is the asymptotic independence of the projection of the matrices ${{\text{A}}_{k}}$ onto the subspace of null trace matrices from their projections onto the orthogonal of this subspace. These results are used to study the asymptotic behavior of the outliers of a spiked elliptic random matrix. More precisely, we show that the fluctuations of these outliers around their limits can have various rates of convergence, depending on the Jordan Canonical Form of the additive perturbation. Also, some correlations can arise between outliers at a macroscopic distance from each other.These phenomena have already been observed with random matrices from the Single Ring Theorem.

Keywords

60B2015B5260F0546L54random matrixGaussian fluctuationspiked modelelliptic random matrixWeingarten calculusHaar measure
Type
Research Article
Information
Canadian Journal of Mathematics , Volume 70 , Issue 1 , 01 February 2018 , pp. 3 - 25
Copyright
Copyright © Canadian Mathematical Society 2018

References

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