93 research outputs found
Central Limit Theorems for the Brownian motion on large unitary groups
In this paper, we are concerned with the large N limit of linear combinations
of the entries of a Brownian motion on the group of N by N unitary matrices. We
prove that the process of such a linear combination converges to a Gaussian
one. Various scales of time and various initial distribution are concerned,
giving rise to various limit processes, related to the geometric construction
of the unitary Brownian motion. As an application, we propose a quite short
proof of the asymptotic Gaussian feature of the linear combinations of the
entries of Haar distributed random unitary matrices, a result already proved by
Diaconis et al.Comment: 14 page
Local Single Ring Theorem
The Single Ring Theorem, by Guionnet, Krishnapur and Zeitouni, describes the
empirical eigenvalue distribution of a large generic matrix with prescribed
singular values, i.e. an matrix of the form , with
some independent Haar-distributed unitary matrices and a deterministic
matrix whose singular values are the ones prescribed. In this text, we give a
local version of this result, proving that it remains true at the microscopic
scale . On our way to prove it, we prove a matrix
subordination result for singular values of sums of non Hermitian matrices, as
Kargin did for Hermitian matrices. This allows to prove a local law for the
singular values of the sum of two non Hermitian matrices and a delocalization
result for singular vectors.Comment: 33 pages, 2 figures. In version v2: hypothesis of the main theorem
slightly weakened, proof adapted. In version v4: some of the proofs
simplified, some of the appendix statements fixed, Remarks added, typos
correcte
Rectangular R-transform as the limit of rectangular spherical integrals
In this paper, we connect rectangular free probability theory and spherical
integrals. In this way, we prove the analogue, for rectangular or square
non-Hermitian matrices, of a result that Guionnet and Maida proved for
Hermitian matrices in 2005. More specifically, we study the limit, as
tend to infinity, of the logarithm (divided by ) of the expectation of
, where is the real part of an entry of , is a real number, is a certain
deterministic matrix and are independent Haar-distributed orthogonal
or unitary matrices with respective sizes , . We prove
that when the singular law of converges to a probability measure ,
for small enough, this limit actually exists and can be expressed with
the rectangular R-transform of . This gives an interpretation of this
transform, which linearizes the rectangular free convolution, as the limit of a
sequence of log-Laplace transforms.Comment: 17 page
On a surprising relation between rectangular and square free convolutions
Debbah and Ryan have recently proved a result about the limit empirical
singular distribution of the sum of two rectangular random matrices whose
dimensions tend to infinity. In this paper, we reformulate it in terms of the
rectangular free convolution introduced in a previous paper and then we give a
new, shorter, proof of this result under weaker hypothesis: we do not suppose
the \pro measure in question in this result to be compactly supported anymore.
At last, we discuss the inclusion of this result in the family of relations
between rectangular and square random matrices.Comment: 8 page
Exponential bounds for the support convergence in the Single Ring Theorem
We consider an by matrix of the form , with some
independent Haar-distributed unitary matrices and a deterministic matrix.
We prove that for and
, as tends to infinity, we have
This gives a simple proof (with slightly weakened hypothesis) of the
convergence of the support in the Single Ring Theorem, improves the available
error bound for this convergence from to and
proves that the rate of this convergence is at most .Comment: 15 pages, 1 figure. Minor typos corrected, references added. To
appear in J. Funct. Ana
Rectangular random matrices. Related convolution
We characterize asymptotic collective behaviour of rectangular random
matrices, the sizes of which tend to infinity at different rates: when embedded
in a space of larger square matrices, independent rectangular random matrices
are asymtotically free with amalgamation over a subalgebra. Therefore we can
define a "rectangular free convolution", linearized by cumulants and by an
analytic integral transform, called the "rectangular R-transform".Comment: 36 pages, to appear in PTR
On a surprising relation between the Marchenko-Pastur law, rectangular and square free convolutions
n this paper, we prove a result linking the square and the rectangular
R-transforms, the consequence of which is a surprising relation between the
square and rectangular versions the free additive convolutions, involving the
Marchenko-Pastur law. Consequences on random matrices, on infinite divisibility
and on the arithmetics of the square versions of the free additive and
multiplicative convolutions are given.Comment: 11 pages, 1 figure. To appear in Ann. Inst. Henri Poincar\'e Probab.
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