Limit distributions of random matrices

Abstract

We study limit distributions of independent random matrices as well as limit joint distributions of their blocks under normalized partial traces composed with classical expectation. In particular, we are concerned with the ensemble of symmetric blocks of independent Hermitian random matrices which are asymptotically free, asymptotically free from diagonal deterministic matrices, and whose norms are uniformly bounded almost surely. This class contains symmetric blocks of unitarily invariant Hermitian random matrices whose asymptotic distributions are compactly supported probability measures on the real line. Our approach is based on the concept of matricial freeness which is a generalization of freeness in free probability. We show that the associated matricially free Gaussian operators provide a unified framework for studying the limit distributions of sums and products of independent rectangular random matrices, including non-Hermitian Gaussian matrices and matrices of Wishart type.