Non universality of fluctuations of outlier eigenvectors for block diagonal deformations of Wigner matrices

Abstract

In this paper, we investigate the fluctuations of a unit eigenvector associated to an outlier in the spectrum of a spiked $N\times N$ complex Deformed Wigner matrix $M_N$: $M_N=W_N/\sqrt{N}+A_N$ where $W_N$ is an $N\times N$ Hermitian Wigner matrix whose entries have a law $\mu$ satisfying a Poincaré inequality and the matrix $A_N$ is a block diagonal matrix, with an eigenvalue $\theta$ of multiplicity one, generating an outlier in the spectrum of $M_N$. We prove that the fluctuations of the norm of the projection of a unit eigenvector corresponding to the outlier of $M_N$ onto a unit eigenvector corresponding to $\theta$ are not universal.

accepted for publication in Latin American Journal of Probability and Mathematical Statistics