Eigenvalue Statistics Of Random Matrices Research Articles

Spacing ratio characterization of the spectra of directed random networks.

Previous literature on random matrix and network science has traditionally employed measures derived from nearest-neighbor level spacing distributions to characterize the eigenvalue statistics of random matrices. This approach, however, depends crucially on eigenvalue unfolding procedures, which in many situations represent a major hindrance due to constraints in the calculation, especially in the case of complex spectra. Here we study the spectra of directed networks using the recently introduced ratios between nearest and next-to-nearest eigenvalue spacing, thus circumventing the shortcomings imposed by spectral unfolding. Specifically, we characterize the eigenvalue statistics of directed Erdős-Rényi (ER) random networks by means of two adjacency matrix representations, namely, (1) weighted non-Hermitian random matrices and (2) a transformation on non-Hermitian adjacency matrices which produces weighted Hermitian matrices. For both representations, we find that the distribution of spacing ratios becomes universal for a fixed average degree, in accordance with undirected random networks. Furthermore, by calculating the average spacing ratio as a function of the average degree, we show that the spectral statistics of directed ER random networks undergoes a transition from Poisson to Ginibre statistics for model 1 and from Poisson to Gaussian unitary ensemble statistics for model 2. Eigenvector delocalization effects of directed networks are also discussed.

Comparison theorem for some extremal eigenvalue statistics

We introduce a method for the comparison of some extremal eigenvalue statistics of random matrices. For example, it allows one to compare the maximal eigenvalue gap in the bulk of two generalized Wigner ensembles, provided that the first four moments of their matrix entries match. As an application, we extend results of Ben Arous–Bourgade and Feng–Wei that identify the limit of the maximal eigenvalue gap in the bulk of the GUE to all complex Hermitian generalized Wigner matrices.

Linear eigenvalue statistics of random matrices with a variance profile

We give an upper bound on the total variation distance between the linear eigenvalue statistic, properly scaled and centered, of a random matrix with a variance profile and the standard Gaussian random variable. The second-order Poincaré inequality-type result introduced in [S. Chatterjee, Fluctuations of eigenvalues and second order poincaré inequalities, Prob. Theory Rel. Fields 143(1) (2009) 1–40.] is used to establish the bound. Using this bound, we prove central limit theorem for linear eigenvalue statistics of random matrices with different kind of variance profiles. We re-establish some existing results on fluctuations of linear eigenvalue statistics of some well-known random matrix ensembles by choosing appropriate variance profiles.

Concentration inequalities for non-Lipschitz functions with bounded derivatives of higher order

AbstractBuilding on the inequalities for homogeneous tetrahedral polynomials in independent Gaussian variables due to R. Latała we provide a concentration inequality for not necessarily Lipschitz functions $$f:\mathbb {R}^n \rightarrow \mathbb {R}$$ f : R n → R with bounded derivatives of higher orders, which holds when the underlying measure satisfies a family of Sobolev type inequalities $$\begin{aligned} \Vert g- \mathbb Eg\Vert _p \le C(p)\Vert \nabla g\Vert _p. \end{aligned}$$ ‖ g - E g ‖ p ≤ C ( p ) ‖ ∇ g ‖ p . Such Sobolev type inequalities hold, e.g., if the underlying measure satisfies the log-Sobolev inequality (in which case $$C(p) \le C\sqrt{p}$$ C ( p ) ≤ C p ) or the Poincaré inequality (then $$C(p) \le Cp$$ C ( p ) ≤ C p ). Our concentration estimates are expressed in terms of tensor-product norms of the derivatives of $$f$$ f . When the underlying measure is Gaussian and $$f$$ f is a polynomial (not necessarily tetrahedral or homogeneous), our estimates can be reversed (up to a constant depending only on the degree of the polynomial). We also show that for polynomial functions, analogous estimates hold for arbitrary random vectors with independent sub-Gaussian coordinates. We apply our inequalities to general additive functionals of random vectors (in particular linear eigenvalue statistics of random matrices) and the problem of counting cycles of fixed length in Erdős–Rényi random graphs, obtaining new estimates, optimal in a certain range of parameters.

Random matrices: Universality of local eigenvalue statistics

In this paper, we consider the universality of the local eigenvalue statistics of random matrices. Our main result shows that these statistics are determined by the first four moments of the distribution of the entries. As a consequence, we derive the universality of eigenvalue gap distribution and $k$-point correlation and many other statistics (under some mild assumptions) for both Wigner Hermitian matrices and Wigner real symmetric matrices.

Central limit theorem for linear eigenvalue statistics of random matrices with independent entries

We consider $n\times n$ real symmetric and Hermitian Wigner random matrices $n^{-1/2}W$ with independent (modulo symmetry condition) entries and the (null) sample covariance matrices $n^{-1}X^*X$ with independent entries of $m\times n$ matrix $X$. Assuming first that the 4th cumulant (excess) $\kappa_4$ of entries of $W$ and $X$ is zero and that their 4th moments satisfy a Lindeberg type condition, we prove that linear statistics of eigenvalues of the above matrices satisfy the central limit theorem (CLT) as $n\to\infty$, $m\to\infty$, $m/n\to c\in[0,\infty)$ with the same variance as for Gaussian matrices if the test functions of statistics are smooth enough (essentially of the class $\mathbf{C}^5$). This is done by using a simple ``interpolation trick'' from the known results for the Gaussian matrices and the integration by parts, presented in the form of certain differentiation formulas. Then, by using a more elaborated version of the techniques, we prove the CLT in the case of nonzero excess of entries again for essentially $\mathbb{C}^5$ test function. Here the variance of statistics contains an additional term proportional to $\kappa_4$. The proofs of all limit theorems follow essentially the same scheme.