Overlaps between eigenvectors of spiked, correlated random matrices: from matrix PCA to random Gaussian landscapes

Abstract

We consider pairs of GOE (Gaussian Orthogonal Ensemble) matrices which are correlated with each others, and subject to additive and multiplicative rank-one perturbations. We focus on the regime of parameters in which the finite-rank perturbations generate outliers in the spectrum of the matrices. We investigate the statistical correlation (i.e., the typical overlap) between the eigenvectors associated to the outlier eigenvalues of each matrix in the pair, as well as the typical overlap between the outlier eigenvector of one matrix with the eigenvectors in the bulk of the spectrum of the other matrix. We discuss implications of these results for the signal recovery problem for spiked matrices, as well as for problems of high-dimensional random landscapes.

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