Fluctuations of the Extreme Eigenvalues of Finite Rank Deformations of Random Matrices

Florent Benaych-Georges (UPMC Université Paris 6)
Alice Guionnet (École Normale Supérieure de Lyon)
Mylène Maida (Université Paris-Sud)


Consider a deterministic self-adjoint matrix $X_n$ with spectral measure converging to a compactly supported probability measure, the largest and smallest eigenvalues converging to the edges of the limiting measure. We perturb this matrix by adding a random finite rank matrix with delocalised eigenvectors and study the extreme eigenvalues of the deformed model. We give necessary conditions on the deterministic matrix $X_n$ so that the eigenvalues converging out of the bulk exhibit Gaussian fluctuations, whereas the eigenvalues sticking to the edges are very close to the eigenvalues of the non-perturbed model and fluctuate in the same scale.
We generalize these results to the case when $X_n$ is random and get similar behavior when we deform some classical models such as Wigner or Wishart matrices with rather general entries or the so-called matrix models.

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Pages: 1621-1662

Publication Date: August 31, 2011

DOI: 10.1214/EJP.v16-929


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