Finite rank perturbations in products of coupled random matrices: From one correlated to two Wishart ensembles

Abstract

We compare finite rank perturbations of the following three ensembles of complex rectangular random matrices: First, a generalised Wishart ensemble with one random and two fixed correlation matrices introduced by Borodin and Péché, second, the product of two independent random matrices where one has correlated entries, and third, the case when the two random matrices become also coupled through a fixed matrix. The singular value statistics of all three ensembles is shown to be determinantal and we derive double contour integral representations for their respective kernels. Three different kernels are found in the limit of infinite matrix dimension at the origin of the spectrum. They depend on finite rank perturbations of the correlation and coupling matrices and are shown to be integrable. The first kernel (I) is found for two independent matrices from the second, and two weakly coupled matrices from the third ensemble. It generalises the Meijer $G$-kernel for two independent and uncorrelated matrices. The third kernel (III) is obtained for the generalised Wishart ensemble and for two strongly coupled matrices. It further generalises the perturbed Bessel kernel of Desrosiers and Forrester. Finally, kernel (II), found for the ensemble of two coupled matrices, provides an interpolation between the kernels (I) and (III), generalising previous findings of part of the authors.

39 pages, 4 figures; v2: 43 pages, presentation of Thm 1.4 improved, alternative proof of Prop 3.1 and reference added; v3: final typo corrections, to appear in AIHP Probabilite et Statistique

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Cited by in corpus (5)

• Matrix product ensembles of Hermite-type and the hyperbolic Harish-Chandra-Itzykson-Zuber integral
• Additive Matrix Convolutions of Pólya Ensembles and Polynomial Ensembles
• Spectral statistics for the difference of two Wishart matrices
• Hard Edge Statistics of Products of Pólya Ensembles and Shifted GUE's
• Singular Value Statistics for the Spiked Elliptic Ginibre Ensemble