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Zapiski Nauchnykh Seminarov POMI, 2012, Volume 408, Pages 9–42
(Mi znsl5490)
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This article is cited in 2 scientific papers (total in 2 papers)
On the asymptotic distribution of the singular values of powers of random matrices
N. Alexeeva, F. Götzeb, A. Tikhomirovc a Saint-Petersburg State University, Saint-Petersburg, Russia
b Bielefeld University, Department of Mathematics, Bielefeld, Germany
c Komi Scientific Center of Ural Branch of RAS, Syktyvkar State University, Syktyvkar, Russia
Abstract:
We consider powers of random matrices with independent entries. Let $X_{ij}$, $i,j\ge1$, be independent complex random variables with $\mathbf EX_{ij}=0$ and $\mathbf E|X_{ij}|^2=1$ and let $\mathbf X$ denote an $n\times n$ matrix with $[\mathbf X]_{ij}=X_{ij}$, for $1\le i$, $j\le n$. Denote by $s_1^{(m)}\ge\ldots\ge s_n^{(m)}$ the singular values of the random matrix $\mathbf W:={n^{-\frac m2}}\mathbf X^m$ and define the empirical distribution of the squared singular values by
$$
\mathcal F_n^{(m)}(x)=\frac1n\sum_{k=1}^nI_{\{{s_k^{(m)}}^2\le x\}},
$$
where $I_{\{B\}}$ denotes the indicator of an event $B$. We prove that that the expected spectral distribution $F_n^{(m)}(x)=\mathbf E\mathcal F_n^{(m)}(x)$ converges under a Lindeberg condition to the distribution function $G^{(m)}(x)$ defined by its moments
$$
\alpha_k(m):=\int_\mathbb Rx^k\,dG(x)=\frac1{mk+1}\binom{km+k}k.
$$
Key words and phrases:
Fuss–Catalan numbers, random matrices, singular values, powers of random matrices.
Received: 01.11.2012
Citation:
N. Alexeev, F. Götze, A. Tikhomirov, “On the asymptotic distribution of the singular values of powers of random matrices”, Probability and statistics. Part 18, Zap. Nauchn. Sem. POMI, 408, POMI, St. Petersburg, 2012, 9–42; J. Math. Sci. (N. Y.), 199:2 (2014), 68–87
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https://www.mathnet.ru/eng/znsl5490 https://www.mathnet.ru/eng/znsl/v408/p9
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