Outliers in the Single Ring Theorem

Abstract

This text is about spiked models of non Hermitian random matrices. More specifically, we consider matrices of the type $A+P$, where the rank of $P$ stays bounded as the dimension goes to infinity and where the matrix $A$ is a non Hermitian random matrix, satisfying an isotropy hypothesis: its distribution is invariant under the left and right actions of the unitary group. The macroscopic eigenvalue distribution of such matrices is governed by the so called Single Ring Theorem, due to Guionnet, Krishnapur and Zeitouni. We first prove that if $P$ has some eigenvalues out of the maximal circle of the single ring, then $A+P$ has some eigenvalues (called outliers) in the neighborhood of those of $P$, which is not the case for the eigenvalues of $P$ in the inner cycle of the single ring. Then, we study the fluctuations of the outliers of $A$ around the eigenvalues of $P$ and prove that they are distributed as the eigenvalues of some finite dimensional random matrices. Such facts had already been noticed for Hermitian models. More surprising facts are that outliers can here have very various rates of convergence to their limits (depending on the Jordan Canonical Form of $P$) and that some correlations can appear between outliers at a macroscopic distance from each other (a fact already noticed by Knowles and Yin in the Hermitian case, but only in the case of non Gaussian models, whereas spiked Gaussian matrices belong to our model and can have such correlated outliers). Our first result generalizes a previous result by Tao for matrices with i.i.d. entries, whereas the second one (about the fluctuations) is new.

Version v2 contains a major improvement with respect to the first one: we now consider the general case for fluctuations of the outliers. In version v4, we slightly weakened the hypotheses. In v5, we simplified notation and added a remark about the real case. 42 pages, 4 figures, to appear in Probab. Theory Related Fields

References in corpus (3)

• The outliers of a deformed Wigner matrix
• Exponential bounds for the support convergence in the Single Ring Theorem
• Data Modeling with Large Random Matrices in a Cognitive Radio Network Testbed: Initial Experimental Demonstrations with 70 Nodes

Cited by in corpus (6)

• Exponential bounds for the support convergence in the Single Ring Theorem
• Data Modeling with Large Random Matrices in a Cognitive Radio Network Testbed: Initial Experimental Demonstrations with 70 Nodes
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