Correlation kernels for sums and products of random matrices
Abstract
Let be a random matrix whose squared singular value density is a polynomial ensemble. We derive double contour integral formulas for the correlation kernels of the squared singular values of and , where is a complex Ginibre matrix and is a truncated unitary matrix. We also consider the product of and several complex Ginibre/truncated unitary matrices. As an application, we derive the precise condition for the squared singular values of the product of several truncated unitary matrices to follow a polynomial ensemble. We also consider the sum where is a GUE matrix and is a random matrix whose eigenvalue density is a polynomial ensemble. We show that the eigenvalues of follow a polynomial ensemble whose correlation kernel can be expressed as a double contour integral. As an application, we point out a connection to the two-matrix model.
Cite
@article{arxiv.1505.00610,
title = {Correlation kernels for sums and products of random matrices},
author = {Tom Claeys and Arno B. J. Kuijlaars and Dong Wang},
journal= {arXiv preprint arXiv:1505.00610},
year = {2019}
}
Comments
33 pages, some changes suggested by the referee is made and some references are added