Asymptotic distribution of singular values of powers of random matrices

Details Asymptotic distribution of singular values of powers of random matrices Asymptotic distribution of singular values of powers of random matrices

2010-02-24

arxiv.org/abs/1002.4442v1

Lithuanian Mathematical Journal, Vol. 50, No. 2, 2010, pp. 121-132

Mathematics

Probability

16 pages, 5 figures

Scientific paper

Let $x$ be a complex random variable such that ${\E {x}=0}$, ${\E |x|^2=1}$, ${\E |x|^{4} < \infty}$. Let $x_{ij}$, $i,j \in \{1,2,...\}$ be independet copies of $x$. Let ${\Xb=(N^{-1/2}x_{ij})}$, $1\leq i,j \leq N$ be a random matrix. Writing $\Xb^*$ for the adjoint matrix of $\Xb$, consider the product $\Xb^m{\Xb^*}^m$ with some $m \in \{1,2,...\}$. The matrix $\Xb^m{\Xb^*}^m$ is Hermitian positive semi-definite. Let $\lambda_1,\lambda_2,...,\lambda_N$ be eigenvalues of $\Xb^m{\Xb^*}^m$ (or squared singular values of the matrix $\Xb^m$). In this paper we find the asymptotic distribution function \[ G^{(m)}(x)=\lim_{N\to\infty}\E{F_N^{(m)}(x)} \] of the empirical distribution function \[ {F_N^{(m)}(x)} = N^{-1} \sum_{k=1}^N {\mathbb{I}{\{\lambda_k \leq x\}}}, \] where $\mathbb{I} \{A\}$ stands for the indicator function of event $A$. The moments of $G^{(m)}$ satisfy \[ M^{(m)}_p=\int_{\mathbb{R}}{x^p dG^{(m)}(x)}=\frac{1}{mp+1}\binom{mp+p}{p}. \] In Free Probability Theory $M^{(m)}_p$ are known as Fuss--Catalan numbers. With $m=1$ our result turns to a well known result of Marchenko--Pastur 1967.

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