Circular law, extreme singular values and potential theory

被引:60
作者
Pan, Guangming [2 ]
Zhou, Wang [1 ]
机构
[1] Natl Univ Singapore, Dept Stat & Appl Probabil, Singapore 117546, Singapore
[2] Nanyang Technol Univ, Sch Phys & Math Sci, Div Math Sci, Singapore, Singapore
关键词
Circular law; Largest singular value; Potential; Small ball probability; Smallest singular value; RANDOM MATRICES;
D O I
10.1016/j.jmva.2009.08.005
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
Consider the empirical spectral distribution of complex random n x n matrix whose entries are independent and identically distributed random variables with mean zero and variance 1/n. In this paper, via applying potential theory in the complex plane and analyzing extreme singular values, we prove that this distribution converges, with probability one, to the uniform distribution over the unit disk in the complex plane, i.e. the well known circular law, under the finite fourth moment assumption on matrix elements. (C) 2009 Elsevier Inc. All rights reserved.
引用
收藏
页码:645 / 656
页数:12
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