English

Interlacing Eigenvectors of Large Gaussian Matrices

Probability 2024-11-27 v1 Statistical Mechanics Mathematical Finance

Abstract

We consider the eigenvectors of the principal minor of dimension n<Nn< N of the Dyson Brownian motion in RN\mathbb{R}^{N} and investigate their asymptotic overlaps with the eigenvectors of the full matrix in the limit of large dimension. We explicitly compute the limiting rescaled mean squared overlaps in the large n,Nn\,, N limit with n/Nn\,/\,N tending to a fixed ratio qq\,, for any initial symmetric matrix AA\,. This is accomplished using a Burgers-type evolution equation for a specific resolvent. In the GOE case, our formula simplifies, and we identify an eigenvector analogue of the well-known interlacing of eigenvalues. We investigate in particular the case where AA has isolated eigenvalues. Our method is based on analysing the eigenvector flow under the Dyson Brownian motion.

Keywords

Cite

@article{arxiv.2409.17086,
  title  = {Interlacing Eigenvectors of Large Gaussian Matrices},
  author = {Elie Attal and Romain Allez},
  journal= {arXiv preprint arXiv:2409.17086},
  year   = {2024}
}
R2 v1 2026-06-28T18:56:53.530Z