The Wasserstein distance to the circular law

被引:7
作者
Jalowy, Jonas [1 ]
机构
[1] Univ Munster, Inst Math Stochast, Munster, Germany
来源
ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES | 2023年 / 59卷 / 04期
关键词
Ginibre matrices; circular law; rate of convergence; Wasserstein distance; optimal transport; RANDOM MATRICES; TRANSPORTATION COST; COULOMB GASES; CONVERGENCE; UNIVERSALITY; BEHAVIOR; LIMIT; NORM;
D O I
10.1214/22-AIHP1317
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 investigate the Wasserstein distance between the empirical spectral distribution of non-Hermitian random matrices and the circular law. For Ginibre matrices, we obtain an optimal rate of convergence n-1/2 in 1-Wasserstein distance. This shows that the expected transport cost of complex eigenvalues to the uniform measure on the unit disk decays faster (due to the repulsive behaviour) compared to that of i.i.d. points, which is known to include a logarithmic factor. For non-Gaussian entry distributions with finite moments, we also show that the rate of convergence nearly attains this optimal rate.
引用
收藏
页码:2285 / 2307
页数:23
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