Large deviations for spectral measures of some spiked matrices
Probability
2021-09-24 v2
Abstract
We prove large deviations principles for spectral measures of perturbed (or spiked) matrix models in the direction of an eigenvector of the perturbation. In each model under study, we provide two approaches, one of which relying on large deviations principle of unperturbed models derived in the previous work "Sum rules via large deviations" (Gamboa-Nagel-Rouault, JFA, 2016).
Cite
@article{arxiv.2009.12541,
title = {Large deviations for spectral measures of some spiked matrices},
author = {Nathan Noiry and Alain Rouault},
journal= {arXiv preprint arXiv:2009.12541},
year = {2021}
}
Comments
28 pages, corrected and updated version