English

On the asymptotic distribution of the singular values of powers of random matrices

Probability 2010-12-14 v1

Abstract

We consider powers of random matrices with independent entries. Let Xij,i,j1X_{ij}, i,j\ge 1, be independent complex random variables with \EXij=0\E X_{ij}=0 and \EXij2=1\E |X_{ij}|^2=1 and let X\mathbf X denote an n×nn\times n matrix with [X]ij=Xij[\mathbf X]_{ij}=X_{ij}, for 1i,jn1\le i, j\le n. Denote by s1(m)...sn(m)s_1^{(m)}\ge...\ge s_n^{(m)} the singular values of the random matrix W:=nm2Xm\mathbf W:={n^{-\frac m2}} \mathbf X^m and define the empirical distribution of the squared singular values by Fn(m)(x)=1nk=1nI{sk(m)2x}, \mathcal F_n^{(m)}(x)=\frac1n\sum_{k=1}^nI_{\{{s_k^{(m)}}^2\le x\}}, where I{B}I_{\{B\}} denotes the indicator of an event BB. We prove that under a Lindeberg condition for the fourth moment that the expected spectral distribution Fn(m)(x)=\EFn(m)(x)F_n^{(m)}(x)=\E \mathcal F_n^{(m)}(x) converges to the distribution function G(m)(x)G^{(m)}(x) defined by its moments αk(m):=RxkdG(x)=1mk+1(km+kk). \alpha_k(m):=\int_{\mathbb R}x^k\,d\,G(x)=\frac {1}{mk+1}\binom{km+k}{k}.

Keywords

Cite

@article{arxiv.1012.2743,
  title  = {On the asymptotic distribution of the singular values of powers of random matrices},
  author = {Nikita Alexeev and Friedrich Götze and Alexander Tikhomirov},
  journal= {arXiv preprint arXiv:1012.2743},
  year   = {2010}
}