Additive/multiplicative free subordination property and limiting eigenvectors of spiked additive deformations of Wigner matrices and spiked sample covariance matrices

When some eigenvalues of a spiked multiplicative resp. additive deformation model of a Hermitian Wigner matrix resp. a sample covariance matrix separate from the bulk, we study how the corresponding eigenvectors project onto those of the perturbation. We point out that the inverse of the subordination function relative to the free additive resp. multiplicative convolution plays an important part in the asymptotic behavior

Strong asymptotic freeness for Wigner and Wishart matrices

We prove that any non commutative polynomial of r independent copies of Wigner matrices converges a.s. towards the polynomial of r free semicircular variables in operator norm. This result extends a previous work of Haagerup and Thorbjornsen where GUE matrices are considered, as well as the classical asymptotic freeness for Wigner matrices (i.e. convergence of the moments) proved by Dykema. We also study the Wishart case

The largest eigenvalues of finite rank deformation of large Wigner matrices: convergence and nonuniversality of the fluctuations

In this paper, we investigate the asymptotic spectrum of complex or real Deformed Wigner matrices $(M_N)_N$ defined by $M_N=W_N/\sqrt{N}+A_N$ where $W_N$ is an $N\times N$ Hermitian (resp., symmetric) Wigner matrix whose entries have a symmetric law satisfying a Poincar\'{e} inequality. The matrix $A_N$ is Hermitian (resp., symmetric) and deterministic with all but finitely many eigenvalues equal to zero. We first show that, as soon as the first largest or last smallest eigenvalues of $A_N$ are sufficiently far from zero, the corresponding eigenvalues of $M_N$ almost surely exit the limiting semicircle compact support as the size $N$ becomes large. The corresponding limits are universal in the sense that they only involve the variance of the entries of $W_N$. On the other hand, when $A_N$ is diagonal with a sole simple nonnull eigenvalue large enough, we prove that the fluctuations of the largest eigenvalue are not universal and vary with the particular distribution of the entries of $W_N$.Comment: Published in at http://dx.doi.org/10.1214/08-AOP394 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org

Free convolution with a semi-circular distribution and eigenvalues of spiked deformations of Wigner matrices

We investigate the asymptotic behavior of the eigenvalues of spiked perturbations of Wigner matrices when the dimension goes to infinity. The entries of the Hermitian Wigner matrix have a distribution which is symmetric and satisfies a Poincar\'e inequality. The perturbation matrix is a deterministic Hermitian matrix whose spectral measure converges to some probability measure with compact support. We assume that this perturbation matrix has a fixed number of fixed eigenvalues (spikes) outside the support of its limiting spectral measure whereas the distance between the other eigenvalues and this support uniformly goes to zero as the dimension goes to infinity. We establish that only a particular subset of the spikes will generate some eigenvalues of the deformed model which will converge to some limiting points outside the support of the limiting spectral measure. This phenomenon can be fully described in terms of free probability involving the subordination function related to the additive free convolution of the limiting spectral measure of the perturbation matrix by a semi-circular distribution. Note that up to now only finite rank perturbations had been considered (even in the deformed GUE case)

The largest eigenvalue of finite rank deformation of large Wigner matrices: convergence and non-universality of the fluctuations

We investigate the asymptotic spectrum of deformed Wigner matrices. The deformation is deterministic will all but finitely many eigenvalues equal to zero. We show that, as soon as the first largest or last smallest eigenvalues of the deformation are sufficiently far from 0, the corresponding eigenvalues of the deformed Wigner matrix almost surely exit the limiting semicircle compact support as the size of the matrix becomes large. In the particular case of a diagonal pertubation of rank 1, we prove that the fluctuations of the largest eigenvalue are not universal and depend on the particular distribution of the entries of the Wigner matrix

OUTLIERS IN THE SPECTRUM OF LARGE DEFORMED UNITARILY INVARIANT MODELS

44 pages, LaTeX, one figure. Several changes form the previous version, including a correction in Lemma 3.1 and the addition of several remarks and of a numerical example, kindly provided by Charles Bordenave. Same title as http://arxiv.org/abs/1207.5443, which it greatly expands.International audienceIn this paper we characterize the possible outliers in the spectrum of large deformed unitarily invariant additive and multiplicative models, as well as the eigenvectors corresponding to them. We allow both the non-deformed unitarily invariant model and the perturbation matrix to have non-trivial limiting spectral measures and spiked outliers in their spectrum. We uncover a remarkable new phenomenon: a single spike can generate asymptotically several outliers in the spectrum of the deformed model. The free subordination functions play a key role in this analysis

Random matrices and random graphs*

We collect recent results on random matrices and random graphs. The topics covered are: fluctuations of the empirical measure of random matrices, finite-size effects of algorithms involving random matrices, characteristic polynomial of sparse matrices and Voronoi tesselations of split trees