TRACY-WIDOM LIMIT FOR FREE SUM OF RANDOM MATRICES

被引:0
|
作者
Ji, Hong chang [1 ]
Park, Jaewhi [2 ]
机构
[1] IST Austria, Klosterneuburg, Austria
[2] Korea Adv Inst Sci & Technol, Dept Math Sci, Daejeon, South Korea
基金
欧洲研究理事会; 新加坡国家研究基金会;
关键词
Random matrices; edge universality; free additive convolution; SPECTRAL STATISTICS; LARGEST EIGENVALUE; UNIVERSALITY; THEOREM; EDGE;
D O I
10.1214/24-AOP1705
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We consider fluctuations of the largest eigenvalues of the random matrix model A + UBU* where A and B are N x N deterministic Hermitian (or symmetric) matrices and U is a Haar-distributed unitary (or orthogonal) matrix. We prove that the largest eigenvalue weakly converges to the GUE (or GOE) Tracy-Widom distribution, under mild assumptions on A and B to guarantee that the density of states of the model decays as square root around the upper edge. Our proof is based on the comparison of the Green function along the Dyson Brownian motion starting from the matrix A+ UBU* and ending at time N - 1 / 3 +o( 1 ) . As a byproduct of our proof, we also prove an optimal local law for the Dyson Brownian motion up to the constant time scale.
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页码:239 / 298
页数:60
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