Anisotropic local laws for random matrices

Antti Knowles ETH Zurich Jun Yin University of Wisconsin

Probability mathscidoc:1608.28004

2014.10
We develop a new method for deriving local laws for a large class of random matrices. It is applicable to many matrix models built from sums and products of deterministic or independent random matrices. In particular, it may be used to obtain local laws for matrix ensembles that are \emph{anisotropic} in the sense that their resolvents are well approximated by deterministic matrices that are not multiples of the identity. For definiteness, we present the method for sample covariance matrices of the form Q:=TXX∗T∗, where T is deterministic and X is random with independent entries. We prove that with high probability the resolvent of Q is close to a deterministic matrix, with an optimal error bound and down to optimal spectral scales. As an application, we prove the edge universality of Q by establishing the Tracy-Widom-Airy statistics of the eigenvalues of Q near the soft edges. This result applies in the single-cut and multi-cut cases. Further applications include the distribution of the eigenvectors and an analysis of the outliers and BBP-type phase transitions in finite-rank deformations; they will appear elsewhere. We also apply our method to Wigner matrices whose entries have arbitrary expectation, i.e. we consider W+A where W is a Wigner matrix and a Hermitian deterministic matrix. We prove the anisotropic local law for W+A and use it to establish edge universality.
Anisotropic local laws, random matrice,Wigner matrices, Hermitian deterministic matrix
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@inproceedings{antti2014anisotropic,
  title={Anisotropic local laws for random matrices},
  author={Antti Knowles, and Jun Yin},
  url={http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20160823113454705344398},
  year={2014},
}
Antti Knowles, and Jun Yin. Anisotropic local laws for random matrices. 2014. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20160823113454705344398.
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