Co-rank 1 projections and the randomised Horn problem

Abstract

Let $\hat{\mathbf{x}}$ be a normalised standard complex Gaussian vector, and project an Hermitian matrix $A$ onto the hyperplane orthogonal to $\hat{\mathbf{x}}$. In a recent paper Faraut [Tunisian J. Math. \textbf{1} (2019), 585--606] has observed that the corresponding eigenvalue PDF has an almost identical structure to the eigenvalue PDF for the rank 1 perturbation $A+b\hat{\mathbf{x}}{\hat{\mathbf{x}}}^{†}$, and asks for an explanation. We provide this by way of a common derivation involving the secular equations and associated Jacobians. This applies too in related setting, for example when $\hat{\mathbf{x}}$ is a real Gaussian and $A$ Hermitian, and also in a multiplicative setting $AUB{U}^{†}$ where $A,B$ are fixed unitary matrices with $B$ a multiplicative rank 1 deviation from unity, and $U$ is a Haar distributed unitary matrix. Specifically, in each case there is a dual eigenvalue problem giving rise to a PDF of almost identical structure.

arXiv comment16 pages; V2 minor corrections; similarly V3

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• Product Matrix Processes with Symplectic and Orthogonal Invariance via Symmetric Functions