Large deviations for extreme eigenvalues of deformed Wigner random matrices
Probability
2023-03-22 v2
Abstract
We present a large deviation principle at speed N for the largest eigenvalue of some additively deformed Wigner matrices. In particular this includes Gaussian ensembles with full-rank general deformation. For the non-Gaussian ensembles, the deformation should be diagonal, and we assume that the laws of the entries have sharp sub-Gaussian Laplace transforms and satisfy certain concentration properties. For these latter ensembles we establish the large deviation principle in a restricted range , where depends on the deformation only and can be infinite.
Cite
@article{arxiv.1910.13566,
title = {Large deviations for extreme eigenvalues of deformed Wigner random matrices},
author = {Benjamin McKenna},
journal= {arXiv preprint arXiv:1910.13566},
year = {2023}
}
Comments
We thank Alice Guionnet and Ofer Zeitouni for explaining that one assumption in an early version of this paper was superfluous