TY - JOUR
AB - We prove a local law in the bulk of the spectrum for random Gram matrices XX∗, a generalization of sample covariance matrices, where X is a large matrix with independent, centered entries with arbitrary variances. The limiting eigenvalue density that generalizes the Marchenko-Pastur law is determined by solving a system of nonlinear equations. Our entrywise and averaged local laws are on the optimal scale with the optimal error bounds. They hold both in the square case (hard edge) and in the properly rectangular case (soft edge). In the latter case we also establish a macroscopic gap away from zero in the spectrum of XX∗.
AU - Alt, Johannes
AU - Erdös, László
AU - Krüger, Torben H
ID - 1010
JF - Electronic Journal of Probability
SN - 10836489
TI - Local law for random Gram matrices
VL - 22
ER -
TY - JOUR
AB - We consider products of independent square non-Hermitian random matrices. More precisely, let X1,…, Xn be independent N × N random matrices with independent entries (real or complex with independent real and imaginary parts) with zero mean and variance 1/N. Soshnikov-O’Rourke [19] and Götze-Tikhomirov [15] showed that the empirical spectral distribution of the product of n random matrices with iid entries converges to (equation found). We prove that if the entries of the matrices X1,…, Xn are independent (but not necessarily identically distributed) and satisfy uniform subexponential decay condition, then in the bulk the convergence of the ESD of X1,…, Xn to (0.1) holds up to the scale N–1/2+ε.
AU - Nemish, Yuriy
ID - 1023
JF - Electronic Journal of Probability
SN - 10836489
TI - Local law for the product of independent non-Hermitian random matrices with independent entries
VL - 22
ER -
TY - JOUR
AB - We show that matrix elements of functions of N × N Wigner matrices fluctuate on a scale of order N−1/2 and we identify the limiting fluctuation. Our result holds for any function f of the matrix that has bounded variation thus considerably relaxing the regularity requirement imposed in [7, 11].
AU - Erdös, László
AU - Schröder, Dominik J
ID - 1144
JF - Electronic Communications in Probability
TI - Fluctuations of functions of Wigner matrices
VL - 21
ER -
TY - JOUR
AB - We show that the Anderson model has a transition from localization to delocalization at exactly 2 dimensional growth rate on antitrees with normalized edge weights which are certain discrete graphs. The kinetic part has a one-dimensional structure allowing a description through transfer matrices which involve some Schur complement. For such operators we introduce the notion of having one propagating channel and extend theorems from the theory of one-dimensional Jacobi operators that relate the behavior of transfer matrices with the spectrum. These theorems are then applied to the considered model. In essence, in a certain energy region the kinetic part averages the random potentials along shells and the transfer matrices behave similar as for a one-dimensional operator with random potential of decaying variance. At d dimensional growth for d>2 this effective decay is strong enough to obtain absolutely continuous spectrum, whereas for some uniform d dimensional growth with d<2 one has pure point spectrum in this energy region. At exactly uniform 2 dimensional growth also some singular continuous spectrum appears, at least at small disorder. As a corollary we also obtain a change from singular spectrum (d≤2) to absolutely continuous spectrum (d≥3) for random operators of the type rΔdr+λ on ℤd, where r is an orthogonal radial projection, Δd the discrete adjacency operator (Laplacian) on ℤd and λ a random potential.
AU - Sadel, Christian
ID - 1608
IS - 7
JF - Annales Henri Poincare
TI - Anderson transition at 2 dimensional growth rate on antitrees and spectral theory for operators with one propagating channel
VL - 17
ER -
TY - JOUR
AB - We consider random matrices of the form H=W+λV, λ∈ℝ+, where W is a real symmetric or complex Hermitian Wigner matrix of size N and V is a real bounded diagonal random matrix of size N with i.i.d.\ entries that are independent of W. We assume subexponential decay for the matrix entries of W and we choose λ∼1, so that the eigenvalues of W and λV are typically of the same order. Further, we assume that the density of the entries of V is supported on a single interval and is convex near the edges of its support. In this paper we prove that there is λ+∈ℝ+ such that the largest eigenvalues of H are in the limit of large N determined by the order statistics of V for λ>λ+. In particular, the largest eigenvalue of H has a Weibull distribution in the limit N→∞ if λ>λ+. Moreover, for N sufficiently large, we show that the eigenvectors associated to the largest eigenvalues are partially localized for λ>λ+, while they are completely delocalized for λ<λ+. Similar results hold for the lowest eigenvalues.
AU - Lee, Jioon
AU - Schnelli, Kevin
ID - 1881
IS - 1-2
JF - Probability Theory and Related Fields
TI - Extremal eigenvalues and eigenvectors of deformed Wigner matrices
VL - 164
ER -
TY - JOUR
AB - We consider N×N random matrices of the form H = W + V where W is a real symmetric or complex Hermitian Wigner matrix and V is a random or deterministic, real, diagonal matrix whose entries are independent of W. We assume subexponential decay for the matrix entries of W, and we choose V so that the eigenvalues ofW and V are typically of the same order. For a large class of diagonal matrices V , we show that the local statistics in the bulk of the spectrum are universal in the limit of large N.
AU - Lee, Jioon
AU - Schnelli, Kevin
AU - Stetler, Ben
AU - Yau, Horngtzer
ID - 1219
IS - 3
JF - Annals of Probability
TI - Bulk universality for deformed wigner matrices
VL - 44
ER -
TY - JOUR
AB - We consider a random Schrödinger operator on the binary tree with a random potential which is the sum of a random radially symmetric potential, Qr, and a random transversally periodic potential, κQt, with coupling constant κ. Using a new one-dimensional dynamical systems approach combined with Jensen's inequality in hyperbolic space (our key estimate) we obtain a fractional moment estimate proving localization for small and large κ. Together with a previous result we therefore obtain a model with two Anderson transitions, from localization to delocalization and back to localization, when increasing κ. As a by-product we also have a partially new proof of one-dimensional Anderson localization at any disorder.
AU - Froese, Richard
AU - Lee, Darrick
AU - Sadel, Christian
AU - Spitzer, Wolfgang
AU - Stolz, Günter
ID - 1223
IS - 3
JF - Journal of Spectral Theory
TI - Localization for transversally periodic random potentials on binary trees
VL - 6
ER -
TY - JOUR
AB - We consider products of random matrices that are small, independent identically distributed perturbations of a fixed matrix (Formula presented.). Focusing on the eigenvalues of (Formula presented.) of a particular size we obtain a limit to a SDE in a critical scaling. Previous results required (Formula presented.) to be a (conjugated) unitary matrix so it could not have eigenvalues of different modulus. From the result we can also obtain a limit SDE for the Markov process given by the action of the random products on the flag manifold. Applying the result to random Schrödinger operators we can improve some results by Valko and Virag showing GOE statistics for the rescaled eigenvalue process of a sequence of Anderson models on long boxes. In particular, we solve a problem posed in their work.
AU - Sadel, Christian
AU - Virág, Bálint
ID - 1257
IS - 3
JF - Communications in Mathematical Physics
TI - A central limit theorem for products of random matrices and GOE statistics for the Anderson model on long boxes
VL - 343
ER -
TY - JOUR
AB - 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.
AU - Bourgade, Paul
AU - Erdös, László
AU - Yau, Horngtzer
AU - Yin, Jun
ID - 1280
IS - 10
JF - Communications on Pure and Applied Mathematics
TI - Fixed energy universality for generalized wigner matrices
VL - 69
ER -
TY - JOUR
AB - We prove that the system of subordination equations, defining the free additive convolution of two probability measures, is stable away from the edges of the support and blow-up singularities by showing that the recent smoothness condition of Kargin is always satisfied. As an application, we consider the local spectral statistics of the random matrix ensemble A+UBU⁎A+UBU⁎, where U is a Haar distributed random unitary or orthogonal matrix, and A and B are deterministic matrices. In the bulk regime, we prove that the empirical spectral distribution of A+UBU⁎A+UBU⁎ concentrates around the free additive convolution of the spectral distributions of A and B on scales down to N−2/3N−2/3.
AU - Bao, Zhigang
AU - Erdös, László
AU - Schnelli, Kevin
ID - 1434
IS - 3
JF - Journal of Functional Analysis
TI - Local stability of the free additive convolution
VL - 271
ER -
TY - JOUR
AB - We prove optimal local law, bulk universality and non-trivial decay for the off-diagonal elements of the resolvent for a class of translation invariant Gaussian random matrix ensembles with correlated entries.
AU - Ajanki, Oskari H
AU - Erdös, László
AU - Krüger, Torben H
ID - 1489
IS - 2
JF - Journal of Statistical Physics
TI - Local spectral statistics of Gaussian matrices with correlated entries
VL - 163
ER -
TY - JOUR
AB - We consider sample covariance matrices of the form Q = ( σ1/2X)(σ1/2X)∗, where the sample X is an M ×N random matrix whose entries are real independent random variables with variance 1/N and whereσ is an M × M positive-definite deterministic matrix. We analyze the asymptotic fluctuations of the largest rescaled eigenvalue of Q when both M and N tend to infinity with N/M →d ϵ (0,∞). For a large class of populations σ in the sub-critical regime, we show that the distribution of the largest rescaled eigenvalue of Q is given by the type-1 Tracy-Widom distribution under the additional assumptions that (1) either the entries of X are i.i.d. Gaussians or (2) that σ is diagonal and that the entries of X have a sub-exponential decay.
AU - Lee, Ji
AU - Schnelli, Kevin
ID - 1157
IS - 6
JF - Annals of Applied Probability
TI - Tracy-widom distribution for the largest eigenvalue of real sample covariance matrices with general population
VL - 26
ER -
TY - JOUR
AB - We consider the spectral statistics of large random band matrices on mesoscopic energy scales. We show that the correlation function of the local eigenvalue density exhibits a universal power law behaviour that differs from the Wigner-Dyson- Mehta statistics. This law had been predicted in the physics literature by Altshuler and Shklovskii in (Zh Eksp Teor Fiz (Sov Phys JETP) 91(64):220(127), 1986); it describes the correlations of the eigenvalue density in general metallic sampleswith weak disorder. Our result rigorously establishes the Altshuler-Shklovskii formulas for band matrices. In two dimensions, where the leading term vanishes owing to an algebraic cancellation, we identify the first non-vanishing term and show that it differs substantially from the prediction of Kravtsov and Lerner in (Phys Rev Lett 74:2563-2566, 1995). The proof is given in the current paper and its companion (Ann. H. Poincaré. arXiv:1309.5107, 2014).
AU - Erdös, László
AU - Knowles, Antti
ID - 2166
IS - 3
JF - Communications in Mathematical Physics
TI - The Altshuler-Shklovskii formulas for random band matrices I: the unimodular case
VL - 333
ER -
TY - JOUR
AB - In this paper, we consider the fluctuation of mutual information statistics of a multiple input multiple output channel communication systems without assuming that the entries of the channel matrix have zero pseudovariance. To this end, we also establish a central limit theorem of the linear spectral statistics for sample covariance matrices under general moment conditions by removing the restrictions imposed on the second moment and fourth moment on the matrix entries in Bai and Silverstein (2004).
AU - Bao, Zhigang
AU - Pan, Guangming
AU - Zhou, Wang
ID - 1585
IS - 6
JF - IEEE Transactions on Information Theory
TI - Asymptotic mutual information statistics of MIMO channels and CLT of sample covariance matrices
VL - 61
ER -
TY - JOUR
AB - We consider N × N random matrices of the form H = W + V where W is a real symmetric Wigner matrix and V a random or deterministic, real, diagonal matrix whose entries are independent of W. We assume subexponential decay for the matrix entries of W and we choose V so that the eigenvalues of W and V are typically of the same order. For a large class of diagonal matrices V, we show that the rescaled distribution of the extremal eigenvalues is given by the Tracy-Widom distribution F1 in the limit of large N. Our proofs also apply to the complex Hermitian setting, i.e. when W is a complex Hermitian Wigner matrix.
AU - Lee, Jioon
AU - Schnelli, Kevin
ID - 1674
IS - 8
JF - Reviews in Mathematical Physics
TI - Edge universality for deformed Wigner matrices
VL - 27
ER -
TY - JOUR
AB - We consider real symmetric and complex Hermitian random matrices with the additional symmetry hxy = hN-y,N-x. The matrix elements are independent (up to the fourfold symmetry) and not necessarily identically distributed. This ensemble naturally arises as the Fourier transform of a Gaussian orthogonal ensemble. Italso occurs as the flip matrix model - an approximation of the two-dimensional Anderson model at small disorder. We show that the density of states converges to the Wigner semicircle law despite the new symmetry type. We also prove the local version of the semicircle law on the optimal scale.
AU - Alt, Johannes
ID - 1677
IS - 10
JF - Journal of Mathematical Physics
TI - The local semicircle law for random matrices with a fourfold symmetry
VL - 56
ER -
TY - JOUR
AB - Condensation phenomena arise through a collective behaviour of particles. They are observed in both classical and quantum systems, ranging from the formation of traffic jams in mass transport models to the macroscopic occupation of the energetic ground state in ultra-cold bosonic gases (Bose-Einstein condensation). Recently, it has been shown that a driven and dissipative system of bosons may form multiple condensates. Which states become the condensates has, however, remained elusive thus far. The dynamics of this condensation are described by coupled birth-death processes, which also occur in evolutionary game theory. Here we apply concepts from evolutionary game theory to explain the formation of multiple condensates in such driven-dissipative bosonic systems. We show that the vanishing of relative entropy production determines their selection. The condensation proceeds exponentially fast, but the system never comes to rest. Instead, the occupation numbers of condensates may oscillate, as we demonstrate for a rock-paper-scissors game of condensates.
AU - Knebel, Johannes
AU - Weber, Markus
AU - Krüger, Torben H
AU - Frey, Erwin
ID - 1824
JF - Nature Communications
TI - Evolutionary games of condensates in coupled birth-death processes
VL - 6
ER -
TY - JOUR
AB - The Altshuler–Shklovskii formulas (Altshuler and Shklovskii, BZh Eksp Teor Fiz 91:200, 1986) predict, for any disordered quantum system in the diffusive regime, a universal power law behaviour for the correlation functions of the mesoscopic eigenvalue density. In this paper and its companion (Erdős and Knowles, The Altshuler–Shklovskii formulas for random band matrices I: the unimodular case, 2013), we prove these formulas for random band matrices. In (Erdős and Knowles, The Altshuler–Shklovskii formulas for random band matrices I: the unimodular case, 2013) we introduced a diagrammatic approach and presented robust estimates on general diagrams under certain simplifying assumptions. In this paper, we remove these assumptions by giving a general estimate of the subleading diagrams. We also give a precise analysis of the leading diagrams which give rise to the Altschuler–Shklovskii power laws. Moreover, we introduce a family of general random band matrices which interpolates between real symmetric (β = 1) and complex Hermitian (β = 2) models, and track the transition for the mesoscopic density–density correlation. Finally, we address the higher-order correlation functions by proving that they behave asymptotically according to a Gaussian process whose covariance is given by the Altshuler–Shklovskii formulas.
AU - Erdös, László
AU - Knowles, Antti
ID - 1864
IS - 3
JF - Annales Henri Poincare
TI - The Altshuler–Shklovskii formulas for random band matrices II: The general case
VL - 16
ER -
TY - JOUR
AB - This paper is aimed at deriving the universality of the largest eigenvalue of a class of high-dimensional real or complex sample covariance matrices of the form W N =Σ 1/2XX∗Σ 1/2 . Here, X = (xij )M,N is an M× N random matrix with independent entries xij , 1 ≤ i M,≤ 1 ≤ j ≤ N such that Exij = 0, E|xij |2 = 1/N . On dimensionality, we assume that M = M(N) and N/M → d ε (0, ∞) as N ∞→. For a class of general deterministic positive-definite M × M matrices Σ , under some additional assumptions on the distribution of xij 's, we show that the limiting behavior of the largest eigenvalue of W N is universal, via pursuing a Green function comparison strategy raised in [Probab. Theory Related Fields 154 (2012) 341-407, Adv. Math. 229 (2012) 1435-1515] by Erd″os, Yau and Yin for Wigner matrices and extended by Pillai and Yin [Ann. Appl. Probab. 24 (2014) 935-1001] to sample covariance matrices in the null case (&Epsi = I ). Consequently, in the standard complex case (Ex2 ij = 0), combing this universality property and the results known for Gaussian matrices obtained by El Karoui in [Ann. Probab. 35 (2007) 663-714] (nonsingular case) and Onatski in [Ann. Appl. Probab. 18 (2008) 470-490] (singular case), we show that after an appropriate normalization the largest eigenvalue of W N converges weakly to the type 2 Tracy-Widom distribution TW2 . Moreover, in the real case, we show that whenΣ is spiked with a fixed number of subcritical spikes, the type 1 Tracy-Widom limit TW1 holds for the normalized largest eigenvalue of W N , which extends a result of Féral and Péché in [J. Math. Phys. 50 (2009) 073302] to the scenario of nondiagonal Σ and more generally distributed X . In summary, we establish the Tracy-Widom type universality for the largest eigenvalue of generally distributed sample covariance matrices under quite light assumptions on &Sigma . Applications of these limiting results to statistical signal detection and structure recognition of separable covariance matrices are also discussed.
AU - Bao, Zhigang
AU - Pan, Guangming
AU - Zhou, Wang
ID - 1505
IS - 1
JF - Annals of Statistics
TI - Universality for the largest eigenvalue of sample covariance matrices with general population
VL - 43
ER -
TY - JOUR
AB - Consider the square random matrix An = (aij)n,n, where {aij:= a(n)ij , i, j = 1, . . . , n} is a collection of independent real random variables with means zero and variances one. Under the additional moment condition supn max1≤i,j ≤n Ea4ij <∞, we prove Girko's logarithmic law of det An in the sense that as n→∞ log | detAn| ? (1/2) log(n-1)! d/→√(1/2) log n N(0, 1).
AU - Bao, Zhigang
AU - Pan, Guangming
AU - Zhou, Wang
ID - 1506
IS - 3
JF - Bernoulli
TI - The logarithmic law of random determinant
VL - 21
ER -