English

Asymptotic distribution of singular values of powers of random matrices

Probability 2011-11-15 v1

Abstract

Let xx be a complex random variable such that \Ex=0{\E {x}=0}, \Ex2=1{\E |x|^2=1}, \Ex4<{\E |x|^{4} < \infty}. Let xijx_{ij}, i,j{1,2,...}i,j \in \{1,2,...\} be independet copies of xx. Let \Xb=(N1/2xij){\Xb=(N^{-1/2}x_{ij})}, 1i,jN1\leq i,j \leq N be a random matrix. Writing \Xb\Xb^* for the adjoint matrix of \Xb\Xb, consider the product \Xbm\Xbm\Xb^m{\Xb^*}^m with some m{1,2,...}m \in \{1,2,...\}. The matrix \Xbm\Xbm\Xb^m{\Xb^*}^m is Hermitian positive semi-definite. Let λ1,λ2,...,λN\lambda_1,\lambda_2,...,\lambda_N be eigenvalues of \Xbm\Xbm\Xb^m{\Xb^*}^m (or squared singular values of the matrix \Xbm\Xb^m). In this paper we find the asymptotic distribution function G(m)(x)=limN\EFN(m)(x) G^{(m)}(x)=\lim_{N\to\infty}\E{F_N^{(m)}(x)} of the empirical distribution function FN(m)(x)=N1k=1NI{λkx}, {F_N^{(m)}(x)} = N^{-1} \sum_{k=1}^N {\mathbb{I}{\{\lambda_k \leq x\}}}, where I{A}\mathbb{I} \{A\} stands for the indicator function of event AA. The moments of G(m)G^{(m)} satisfy Mp(m)=RxpdG(m)(x)=1mp+1(mp+pp). M^{(m)}_p=\int_{\mathbb{R}}{x^p dG^{(m)}(x)}=\frac{1}{mp+1}\binom{mp+p}{p}. In Free Probability Theory Mp(m)M^{(m)}_p are known as Fuss--Catalan numbers. With m=1m=1 our result turns to a well known result of Marchenko--Pastur 1967.

Keywords

Cite

@article{arxiv.1002.4442,
  title  = {Asymptotic distribution of singular values of powers of random matrices},
  author = {Nikita Alexeev and Friedrich Götze and Alexander Tikhomirov},
  journal= {arXiv preprint arXiv:1002.4442},
  year   = {2011}
}

Comments

16 pages, 5 figures