scholarly journals Remarks on absolute continuity in the context of free probability and random matrices

2015 ◽  
Vol 144 (3) ◽  
pp. 1335-1341 ◽  
Author(s):  
Arijit Chakrabarty ◽  
Rajat Subhra Hazra
Author(s):  
Serban T Belinschi ◽  
Hari Bercovici ◽  
Mireille Capitaine

Abstract Given a selfadjoint polynomial $P(X,Y)$ in two noncommuting selfadjoint indeterminates, we investigate the asymptotic eigenvalue behavior of the random matrix $P(A_N,B_N)$, where $A_N$ and $B_N$ are independent Hermitian random matrices and the distribution of $B_N$ is invariant under conjugation by unitary operators. We assume that the empirical eigenvalue distributions of $A_N$ and $B_N$ converge almost surely to deterministic probability measures $\mu$ and $\nu$, respectively. In addition, the eigenvalues of $A_N$ and $B_N$ are assumed to converge uniformly almost surely to the support of $\mu$ and $\nu ,$ respectively, except for a fixed finite number of fixed eigenvalues (spikes) of $A_N$. It is known that almost surely the empirical distribution of the eigenvalues of $P(A_N,B_N)$ converges to a certain deterministic probability measure $\eta \ (\textrm{sometimes denoted}\ P^\square(\mu,\nu))$ and, when there are no spikes, the eigenvalues of $P(A_N,B_N)$ converge uniformly almost surely to the support of $\eta$. When spikes are present, we show that the eigenvalues of $P(A_N,B_N)$ still converge uniformly to the support of $\eta$, with the possible exception of certain isolated outliers whose location can be determined in terms of $\mu ,\nu ,P$, and the spikes of $A_N$. We establish a similar result when $B_N$ is replaced by a Wigner matrix. The relation between outliers and spikes is described using the operator-valued subordination functions of free probability theory. These results extend known facts from the special case in which $P(X,Y)=X+Y$.


Author(s):  
Tomohiro Hayase

We investigate parameter identifiability of spectral distributions of random matrices. In particular, we treat compound Wishart type and signal-plus-noise type. We show that each model is identifiable up to some kind of rotation of parameter space. Our method is based on free probability theory.


2018 ◽  
Vol 38 (2) ◽  
pp. 359-384
Author(s):  
Holger Kösters ◽  
Alexander Tikhomirov

For fixed l≥0 and m≥1, let Xn0, Xn1,..., Xnl be independent random n × n matrices with independent entries, let Fn0 := Xn0, Xn1-1,..., Xnl-1, and let Fn1,..., Fnm be independent random matrices of the same form as Fn0 . We show that as n → ∞, the matrices Fn0 and m−l+1/2Fn1 +...+ Fnm have the same limiting eigenvalue distribution. To obtain our results, we apply the general framework recently introduced in Götze, Kösters, and Tikhomirov 2015 to sums of products of independent random matrices and their inverses.We establish the universality of the limiting singular value and eigenvalue distributions, and we provide a closer description of the limiting distributions in terms of free probability theory.


2015 ◽  
Vol 04 (02) ◽  
pp. 1550005 ◽  
Author(s):  
F. Götze ◽  
H. Kösters ◽  
A. Tikhomirov

We investigate the universality of singular value and eigenvalue distributions of matrix-valued functions of independent random matrices and apply these general results in several examples. In particular we determine the limit distribution and prove universality under general conditions for singular value and eigenvalue distributions of products of independent matrices from spherical ensembles.


2018 ◽  
Vol 70 (3) ◽  
pp. 1111-1150 ◽  
Author(s):  
Benoit COLLINS ◽  
Takahiro HASEBE ◽  
Noriyoshi SAKUMA

Author(s):  
James A. Mingo ◽  
Roland Speicher

Author(s):  
Alice Guionnet

Free probability was introduced by D. Voiculescu as a theory of noncommutative random variables (similar to integration theory) equipped with a notion of freeness very similar to independence. In fact, it is possible in this framework to define the natural ‘free’ counterpart of the central limit theorem, Gaussian distribution, Brownian motion, stochastic differential calculus, entropy, etc. It also appears as the natural setup for studying large random matrices as their size goes to infinity and hence is central in the study of random matrices as their size go to infinity. In this chapter the free probability framework is introduced, and it is shown how it naturally shows up in the random matrices asymptotics via the so-called ‘asymptotic freeness’. The connection with combinatorics and the enumeration of planar maps, including loop models, are discussed.


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