Spectral measure of large random Hankel, Markov and Toeplitz matrices

Abstract

We study the limiting spectral measure of large symmetric random matrices of linear algebraic structure. For Hankel and Toeplitz matrices generated by i.i.d. random variables $\{X_k\}$ of unit variance, and for symmetric Markov matrices generated by i.i.d. random variables $\{X_{ij}{\}}_{j>i}$ of zero mean and unit variance, scaling the eigenvalues by $\sqrt{n}$ we prove the almost sure, weak convergence of the spectral measures to universal, nonrandom, symmetric distributions ${\gamma }_H$, ${\gamma }_M$ and ${\gamma }_T$ of unbounded support. The moments of ${\gamma }_H$ and ${\gamma }_T$ are the sum of volumes of solids related to Eulerian numbers, whereas ${\gamma }_M$ has a bounded smooth density given by the free convolution of the semicircle and normal densities. For symmetric Markov matrices generated by i.i.d. random variables $\{X_{ij}{\}}_{j>i}$ of mean $m$ and finite variance, scaling the eigenvalues by $n$ we prove the almost sure, weak convergence of the spectral measures to the atomic measure at $-m$. If $m=0$, and the fourth moment is finite, we prove that the spectral norm of ${\mathbf{M}}_n$ scaled by $\sqrt{2n\log n}$ converges almost surely to 1.

Published at http://dx.doi.org/10.1214/009117905000000495 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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• Eigenvalue Spacing Distribution for the Ensemble of Real Symmetric Toeplitz Matrices
• On the Law of Addition of Random Matrices

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