English

Limits of spiked random matrices I

Probability 2013-07-24 v2 Mathematical Physics math.MP Statistics Theory Statistics Theory

Abstract

Given a large, high-dimensional sample from a spiked population, the top sample covariance eigenvalue is known to exhibit a phase transition. We show that the largest eigenvalues have asymptotic distributions near the phase transition in the rank-one spiked real Wishart setting and its general beta analogue, proving a conjecture of Baik, Ben Arous and P\'ech\'e (2005). We also treat shifted mean Gaussian orthogonal and beta ensembles. Such results are entirely new in the real case; in the complex case we strengthen existing results by providing optimal scaling assumptions. One obtains the known limiting random Schr\"odinger operator on the half-line, but the boundary condition now depends on the perturbation. We derive several characterizations of the limit laws in which beta appears as a parameter, including a simple linear boundary value problem. This PDE description recovers known explicit formulas at beta=2,4, yielding in particular a new and simple proof of the Painlev\'e representations for these Tracy-Widom distributions.

Keywords

Cite

@article{arxiv.1011.1877,
  title  = {Limits of spiked random matrices I},
  author = {Alex Bloemendal and Bálint Virág},
  journal= {arXiv preprint arXiv:1011.1877},
  year   = {2013}
}

Comments

34 pages; minor corrections, references updated

R2 v1 2026-06-21T16:40:42.160Z