On Eigenvalues of the sum of two random projections
Probability
2012-10-25 v1
Abstract
We study the behavior of eigenvalues of matrix P_N + Q_N where P_N and Q_N are two N -by-N random orthogonal projections. We relate the joint eigenvalue distribution of this matrix to the Jacobi matrix ensemble and establish the universal behavior of eigenvalues for large N. The limiting local behavior of eigenvalues is governed by the sine kernel in the bulk and by either the Bessel or the Airy kernel at the edge depending on parameters. We also study an exceptional case when the local behavior of eigenvalues of P_N + Q_N is not universal in the usual sense.
Keywords
Cite
@article{arxiv.1205.0993,
title = {On Eigenvalues of the sum of two random projections},
author = {Vladislav Kargin},
journal= {arXiv preprint arXiv:1205.0993},
year = {2012}
}
Comments
14 pages