Random matrices: Universality of local eigenvalue statistics up to the edge

This is a continuation of our earlier paper on the universality of the eigenvalues of Wigner random matrices. The main new results of this paper are an extension of the results in that paper from the bulk of the spectrum up to the edge. In particular, we prove a variant of the universality results of Soshnikov for the largest eigenvalues, assuming moment conditions rather than symmetry conditions. The main new technical observation is that there is a significant bias in the Cauchy interlacing law near the edge of the spectrum which allows one to continue ensuring the delocalization of eigenvectors.Comment: 24 pages, no figures, to appear, Comm. Math. Phys. One new reference adde

On high moments of strongly diluted large Wigner random matrices

We consider a dilute version of the Wigner ensemble of nxn random matrices $H$ and study the asymptotic behavior of their moments $M_{2s}$ in the limit of infinite $n$, $s$ and $\rho$, where $\rho$ is the dilution parameter. We show that in the asymptotic regime of the strong dilution, the moments $M_{2s}$ with $s=\chi\rho$ depend on the second and the fourth moments of the random entries $H_{ij}$ and do not depend on other even moments of $H_{ij}$. This fact can be regarded as an evidence of a new type of the universal behavior of the local eigenvalue distribution of strongly dilute random matrices at the border of the limiting spectrum. As a by-product of the proof, we describe a new kind of Catalan-type numbers related with the tree-type walks.Comment: 43 pages (version four: misprints corrected, discussion added, other minor modifications

Quantum Diffusion and Delocalization for Band Matrices with General Distribution

We consider Hermitian and symmetric random band matrices $H$ in $d \geq 1$ dimensions. The matrix elements $H_{xy}$, indexed by $x,y \in \Lambda \subset \Z^d$, are independent and their variances satisfy \sigma_{xy}^2:=\E \abs{H_{xy}}^2 = W^{-d} f((x - y)/W) for some probability density $f$. We assume that the law of each matrix element $H_{xy}$ is symmetric and exhibits subexponential decay. We prove that the time evolution of a quantum particle subject to the Hamiltonian $H$ is diffusive on time scales $t\ll W^{d/3}$. We also show that the localization length of the eigenvectors of $H$ is larger than a factor $W^{d/6}$ times the band width $W$. All results are uniform in the size \abs{\Lambda} of the matrix. This extends our recent result \cite{erdosknowles} to general band matrices. As another consequence of our proof we show that, for a larger class of random matrices satisfying $\sum_x\sigma_{xy}^2=1$ for all $y$, the largest eigenvalue of $H$ is bounded with high probability by $2 + M^{-2/3 + \epsilon}$ for any $\epsilon > 0$, where M \deq 1 / (\max_{x,y} \sigma_{xy}^2).Comment: Corrected typos and some inaccuracies in appendix

On the Largest Singular Values of Random Matrices with Independent Cauchy Entries

We apply the method of determinants to study the distribution of the largest singular values of large $m \times n$ real rectangular random matrices with independent Cauchy entries. We show that statistical properties of the (rescaled by a factor of \frac{1}{m^2\*n^2})largest singular values agree in the limit with the statistics of the inhomogeneous Poisson random point process with the intensity $\frac{1}{\pi} x^{-3/2}$ and, therefore, are different from the Tracy-Widom law. Among other corollaries of our method we show an interesting connection between the mathematical expectations of the determinants of complex rectangular $m \times n$ standard Wishart ensemble and real rectangular $2m \times 2n$ standard Wishart ensemble.Comment: We have shown in the revised version that the statistics of the largest eigenavlues of a sample covariance random matrix with i.i.d. Cauchy entries agree in the limit with the statistics of the inhomogeneous Poisson random point process with the intensity $\frac{1}{\pi} x^{-3/2}.

The largest eigenvalue of rank one deformation of large Wigner matrices

The purpose of this paper is to establish universality of the fluctuations of the largest eigenvalue of some non necessarily Gaussian complex Deformed Wigner Ensembles. The real model is also considered. Our approach is close to the one used by A. Soshnikov in the investigations of classical real or complex Wigner Ensembles. It is based on the computation of moments of traces of high powers of the random matrices under consideration

Renormalized energy concentration in random matrices

We define a "renormalized energy" as an explicit functional on arbitrary point configurations of constant average density in the plane and on the real line. The definition is inspired by ideas of [SS1,SS3]. Roughly speaking, it is obtained by subtracting two leading terms from the Coulomb potential on a growing number of charges. The functional is expected to be a good measure of disorder of a configuration of points. We give certain formulas for its expectation for general stationary random point processes. For the random matrix $\beta$-sine processes on the real line (beta=1,2,4), and Ginibre point process and zeros of Gaussian analytic functions process in the plane, we compute the expectation explicitly. Moreover, we prove that for these processes the variance of the renormalized energy vanishes, which shows concentration near the expected value. We also prove that the beta=2 sine process minimizes the renormalized energy in the class of determinantal point processes with translation invariant correlation kernels.Comment: last version, to appear in Communications in Mathematical Physic

Moderate deviations via cumulants

The purpose of the present paper is to establish moderate deviation principles for a rather general class of random variables fulfilling certain bounds of the cumulants. We apply a celebrated lemma of the theory of large deviations probabilities due to Rudzkis, Saulis and Statulevicius. The examples of random objects we treat include dependency graphs, subgraph-counting statistics in Erd\H{o}s-R\'enyi random graphs and $U$-statistics. Moreover, we prove moderate deviation principles for certain statistics appearing in random matrix theory, namely characteristic polynomials of random unitary matrices as well as the number of particles in a growing box of random determinantal point processes like the number of eigenvalues in the GUE or the number of points in Airy, Bessel, and $\sin$ random point fields.Comment: 24 page

On universality of local edge regime for the deformed Gaussian Unitary Ensemble

We consider the deformed Gaussian ensemble $H_n=H_n^{(0)}+M_n$ in which $H_n^{(0)}$ is a hermitian matrix (possibly random) and $M_n$ is the Gaussian unitary random matrix (GUE) independent of $H_n^{(0)}$. Assuming that the Normalized Counting Measure of $H_n^{(0)}$ converges weakly (in probability if random) to a non-random measure $N^{(0)}$ with a bounded support and assuming some conditions on the convergence rate, we prove universality of the local eigenvalue statistics near the edge of the limiting spectrum of $H_n$.Comment: 25 pages, 2 figure

Gaussian Fluctuations of Eigenvalues in Wigner Random Matrices

We study the fluctuations of eigenvalues from a class of Wigner random matrices that generalize the Gaussian orthogonal ensemble. We begin by considering an $n \times n$ matrix from the Gaussian orthogonal ensemble (GOE) or Gaussian symplectic ensemble (GSE) and let $x_k$ denote eigenvalue number $k$. Under the condition that both $k$ and $n-k$ tend to infinity with $n$, we show that $x_k$ is normally distributed in the limit. We also consider the joint limit distribution of $m$ eigenvalues from the GOE or GSE with similar conditions on the indices. The result is an $m$-dimensional normal distribution. Using a recent universality result by Tao and Vu, we extend our results to a class of Wigner real symmetric matrices with non-Gaussian entries that have an exponentially decaying distribution and whose first four moments match the Gaussian moments.Comment: 21 pages, to appear, J. Stat. Phys. References and other corrections suggested by the referees have been incorporate

A quantitative central limit theorem for linear statistics of random matrix eigenvalues

It is known that the fluctuations of suitable linear statistics of Haar distributed elements of the compact classical groups satisfy a central limit theorem. We show that if the corresponding test functions are sufficiently smooth, a rate of convergence of order almost $1/n$ can be obtained using a quantitative multivariate CLT for traces of powers that was recently proven using Stein's method of exchangeable pairs.Comment: Title modified; main result stated under slightly weaker conditions; accepted for publication in the Journal of Theoretical Probabilit