Extremal eigenvalues and eigenvectors of deformed Wigner matrices
Lee, Jioon
Schnelli, Kevin
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.
Springer
2016
info:eu-repo/semantics/article
doc-type:article
text
http://purl.org/coar/resource_type/c_6501
https://research-explorer.ista.ac.at/record/1881
Lee J, Schnelli K. Extremal eigenvalues and eigenvectors of deformed Wigner matrices. <i>Probability Theory and Related Fields</i>. 2016;164(1-2):165-241. doi:<a href="https://doi.org/10.1007/s00440-014-0610-8">10.1007/s00440-014-0610-8</a>
eng
info:eu-repo/semantics/altIdentifier/doi/10.1007/s00440-014-0610-8
info:eu-repo/grantAgreement/EC/FP7/338804
info:eu-repo/semantics/openAccess