A Simple Approach to Global Regime of the Random Matrix Theory

In the paper [25], written in collaboration with Gesine Reinert, we proved a universality principle for the Gaussian Wiener chaos. In the present work, we aim at providing an original example of application of this principle in the framework of random matrix theory. More specifically, by combining the result in [25] with some combinatorial estimates, we are able to prove multi-dimensional central limit theorems for the spectral moments (of arbitrary degrees) associated with r...

We consider an ensemble of nxn real symmetric random matrices A whose entries are determined by independent identically distributed random variables that have symmetric probability distribution. Assuming that the moment 12+2delta of these random variables exists, we prove that the probability distribution of the spectral norm of A rescaled to n^{-2/3} is bounded by a universal expression. The proof is based on the completed and modified version of the approach proposed and de...

We consider random hermitian matrices in which distant above-diagonal entries are independent but nearby entries may be correlated. We find the limit of the empirical distribution of eigenvalues by combinatorial methods. We also prove that the limit has algebraic Stieltjes transform by an argument based on dimension theory of noetherian local rings.

Consider a $N\times n$ random matrix $Z_n=(Z^n_{j_1 j_2})$ where the individual entries are a realization of a properly rescaled stationary gaussian random field. The purpose of this article is to study the limiting empirical distribution of the eigenvalues of Gram random matrices such as $Z_n Z_n ^*$ and $(Z_n +A_n)(Z_n +A_n)^*$ where $A_n$ is a deterministic matrix with appropriate assumptions in the case where $n\to \infty$ and $\frac Nn \to c \in (0,\infty)$. The proo...

Consider a random matrix whose variance profile is random. This random matrix is ergodic in one channel realization if, for each column and row, the empirical distribution of the squared magnitudes of elements therein converges to a nonrandom distribution. In this paper, noncrossing partition theory is employed to derive expressions for several asymptotic eigenvalue moments (AEM) related quantities of a large Wishart-type random matrix $\bb H\bb H^\dag$ when $\bb H$ has a ran...

Consider the product of $m$ independent $n\times n$ random matrices from the spherical ensemble for $m\ge 1$. The empirical distribution based on the $n$ eigenvalues of the product is called the empirical spectral distribution. Two recent papers by G\"otze, K\"osters and Tikhomirov (2015) and Zeng (2016) obtain the limit of the empirical spectral distribution for the product when $m$ is a fixed integer. In this paper, we investigate the limiting empirical distribution of scal...

We consider real symmetric or complex hermitian random matrices with correlated entries. We prove local laws for the resolvent and universality of the local eigenvalue statistics in the bulk of the spectrum. The correlations have fast decay but are otherwise of general form. The key novelty is the detailed stability analysis of the corresponding matrix valued Dyson equation whose solution is the deterministic limit of the resolvent.

Traces of large powers of real-valued Wigner matrices are known to have Gaussian fluctuations: for $A=\frac{1}{\sqrt{n}}(a_{ij})_{1 \leq i,j \leq n}\in \mathbb{R}^{n \times n}, A=A^T$ with $(a_{ij})_{1 \leq i \leq j \leq n}$ i.i.d., symmetric, subgaussian, $\mathbb{E}[a^{2}_{11}]=1,$ and $p=o(n^{2/3}),$ as $n,p \to \infty,$ $\frac{\sqrt{\pi}}{2^{p}}(tr(A^p)-\mathbb{E}[tr(A^p)]) \Rightarrow N(0,1).$ This work shows the entries of $A^{2p},$ properly scaled, also have normal lim...

I present here some results on the statistical behaviour of large random matrices in an ensemble where the probability distribution is not a function of the eigenvalues only. The perturbative expansion can be cast in a closed form and the limits of validity of this expansion are carefully analyzed. A comparison is done with a similar model with quenched disorder, where the solution can be found by using the replica method. Finally I will apply these results to a model which s...

The distribution of eigenvalues of N times N random matrices in the limit N to infinity is the solution to a variational principle that determines the ground state energy of a confined fluid of classical unit charges. This fact is a consequence of a more general theorem, proven here, in the statistical mechanics of unstable interactions. Our result establishes the eigenvalue density of some ensembles of random matrices which were not covered by previous theorems.