Electronic Journal of Probability

Non-Hermitian random matrices with a variance profile (I): deterministic equivalents and limiting ESDs

Nicholas Cook, Walid Hachem, Jamal Najim, and David Renfrew

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Abstract

For each $n$, let $A_n=(\sigma _{ij})$ be an $n\times n$ deterministic matrix and let $X_n=(X_{ij})$ be an $n\times n$ random matrix with i.i.d. centered entries of unit variance. We study the asymptotic behavior of the empirical spectral distribution $\mu _n^Y$ of the rescaled entry-wise product \[ Y_n = \left (\frac 1{\sqrt{n} } \sigma _{ij}X_{ij}\right ). \] For our main result we provide a deterministic sequence of probability measures $\mu _n$, each described by a family of Master Equations, such that the difference $\mu ^Y_n - \mu _n$ converges weakly in probability to the zero measure. A key feature of our results is to allow some of the entries $\sigma _{ij}$ to vanish, provided that the standard deviation profiles $A_n$ satisfy a certain quantitative irreducibility property. An important step is to obtain quantitative bounds on the solutions to an associate system of Schwinger–Dyson equations, which we accomplish in the general sparse setting using a novel graphical bootstrap argument.

Article information

Source
Electron. J. Probab., Volume 23 (2018), paper no. 110, 61 pp.

Dates
Received: 2 March 2018
Accepted: 3 October 2018
First available in Project Euclid: 30 October 2018

Permanent link to this document
https://projecteuclid.org/euclid.ejp/1540865373

Digital Object Identifier
doi:10.1214/18-EJP230

Mathematical Reviews number (MathSciNet)
MR3878135

Zentralblatt MATH identifier
1401.60008

Subjects
Primary: 15B52: Random matrices
Secondary: 15A18: Eigenvalues, singular values, and eigenvectors 60B20: Random matrices (probabilistic aspects; for algebraic aspects see 15B52)

Keywords
large random matrix non-hermitian matrix variance profile empirical spectral distribution

Rights
Creative Commons Attribution 4.0 International License.

Citation

Cook, Nicholas; Hachem, Walid; Najim, Jamal; Renfrew, David. Non-Hermitian random matrices with a variance profile (I): deterministic equivalents and limiting ESDs. Electron. J. Probab. 23 (2018), paper no. 110, 61 pp. doi:10.1214/18-EJP230. https://projecteuclid.org/euclid.ejp/1540865373


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