Eigenvalues and Singular Values of Products of Rectangular Gaussian Random Matrices (The Extended Version)

Details Eigenvalues and Singular Values of Products of Rectangular Gaussian Random Matrices (The Extended Version) Eigenvalues and Singular Values of Products of Rectangular Gaussian Random Matrices (The Extended Version)

2011-03-21

arxiv.org/abs/1103.3964v1

Acta Phys.Polon.B42:939-985,2011

Physics

Condensed Matter

Statistical Mechanics

50 pages, 8 figures, to appear in the Proceedings of the 23rd Marian Smoluchowski Symposium on Statistical Physics: "Random Ma

Scientific paper

10.5506/APhysPolB.42.939

We consider a product of an arbitrary number of independent rectangular Gaussian random matrices. We derive the mean densities of its eigenvalues and singular values in the thermodynamic limit, eventually verified numerically. These densities are encoded in the form of the so called M-transforms, for which polynomial equations are found. We exploit the methods of planar diagrammatics, enhanced to the non-Hermitian case, and free random variables, respectively; both are described in the appendices. As particular results of these two main equations, we find the singular behavior of the spectral densities near zero. Moreover, we propose a finite-size form of the spectral density of the product close to the border of its eigenvalues' domain. Also, led by the striking similarity between the two main equations, we put forward a conjecture about a simple relationship between the eigenvalues and singular values of any non-Hermitian random matrix whose spectrum exhibits rotational symmetry around zero.

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