Universality of random matrices with correlated entries

Abstract

We consider an $N$ by $N$ real symmetric random matrix $X=(x_{ij})$ where $\mathbb{E}{x}_{ij}{x}_{kl}={\xi }_{ijkl}$. Under the assumption that $({\xi }_{ijkl})$ is the discretization of a piecewise Lipschitz function and that the correlation is short-ranged we prove that the empirical spectral measure of $X$ converges to a probability measure. The Stieltjes transform of the limiting measure can be obtained by solving a functional equation. Under the slightly stronger assumption that $(x_{ij})$ has a strictly positive definite covariance matrix, we prove a local law for the empirical measure down to the optimal scale $\text{Im}z\gtrsim N^{-1}$. The local law implies delocalization of eigenvectors. As another consequence we prove that the eigenvalue statistics in the bulk agrees with that of the GOE.

arXiv comment36 pages, more references added, typos corrected

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Cited by in corpus (3)

• Bulk eigenvalue statistics for random regular graphs
• Isotropic self-consistent equations for mean-field random matrices
• The Edge Universality of Correlated Matrices