Anisotropic local laws for random matrices

Abstract

We develop a new method for deriving local laws for a large class of random matrices. It is applicable to many matrix models built from sums and products of deterministic or independent random matrices. In particular, it may be used to obtain local laws for matrix ensembles that are \emph{anisotropic} in the sense that their resolvents are well approximated by deterministic matrices that are not multiples of the identity. For definiteness, we present the method for sample covariance matrices of the form $Q:=TX{X}^{\ast }{T}^{\ast }$, where $T$ is deterministic and $X$ is random with independent entries. We prove that with high probability the resolvent of $Q$ is close to a deterministic matrix, with an optimal error bound and down to optimal spectral scales. As an application, we prove the edge universality of $Q$ by establishing the Tracy-Widom-Airy statistics of the eigenvalues of $Q$ near the soft edges. This result applies in the single-cut and multi-cut cases. Further applications include the distribution of the eigenvectors and an analysis of the outliers and BBP-type phase transitions in finite-rank deformations; they will appear elsewhere. We also apply our method to Wigner matrices whose entries have arbitrary expectation, i.e. we consider $W+A$ where $W$ is a Wigner matrix and $A$ a Hermitian deterministic matrix. We prove the anisotropic local law for $W+A$ and use it to establish edge universality.

References in corpus (5)

• Local semicircle law and complete delocalization for Wigner random matrices
• Central limit theorem for linear eigenvalue statistics of random matrices with independent entries
• Edge Universality for Deformed Wigner Matrices
• Bulk universality for deformed Wigner matrices
• The Tracy--Widom limit for the largest eigenvalues of singular complex Wishart matrices

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• Large Complex Correlated Wishart Matrices: The Pearcey Kernel and Expansion at the Hard Edge
• Limiting Laws for Divergent Spiked Eigenvalues and Largest Non-spiked Eigenvalue of Sample Covariance Matrices
• A Survey on the Eigenvalues Local Behavior of Large Complex Correlated Wishart Matrices
• Limiting Statistics of the Largest and Smallest Eigenvalues in the Correlated Wishart Model
• Isotropic self-consistent equations for mean-field random matrices
• The Tracy-Widom law for the Largest Eigenvalue of F Type Matrix
• A unified matrix model including both CCA and F matrices in multivariate analysis: the largest eigenvalue and its applications
• Mesoscopic Perturbations of Large Random Matrices