Spectral density of generalized Wishart matrices and free multiplicative convolution.

Abstract

We investigate the level density for several ensembles of positive random matrices of a Wishart-like structure, W=XX(†), where X stands for a non-Hermitian random matrix. In particular, making use of the Cauchy transform, we study the free multiplicative powers of the Marchenko-Pastur (MP) distribution, MP(⊠s), which for an integer s yield Fuss-Catalan distributions corresponding to a product of s-independent square random matrices, X=X(1)⋯X(s). New formulas for the level densities are derived for s=3 and s=1/3. Moreover, the level density corresponding to the generalized Bures distribution, given by the free convolution of arcsine and MP distributions, is obtained. We also explain the reason of such a curious convolution. The technique proposed here allows for the derivation of the level densities for several other cases.