Spectral measure of large random Hankel, Markov and Toeplitz matrices

Details Spectral measure of large random Hankel, Markov and Toeplitz matrices Spectral measure of large random Hankel, Markov and Toeplitz matrices

2003-07-25

arxiv.org/abs/math/0307330v3

Annals of Probability 2006, Vol. 34, No. 1, 1-38

Mathematics

Probability

Published at http://dx.doi.org/10.1214/009117905000000495 in the Annals of Probability (http://www.imstat.org/aop/) by the Ins

Scientific paper

10.1214/009117905000000495

We study the limiting spectral measure of large symmetric random matrices of linear algebraic structure. For Hankel and Toeplitz matrices generated by i.i.d. random variables $\{X_k\}$ of unit variance, and for symmetric Markov matrices generated by i.i.d. random variables $\{X_{ij}\}_{j>i}$ of zero mean and unit variance, scaling the eigenvalues by $\sqrt{n}$ we prove the almost sure, weak convergence of the spectral measures to universal, nonrandom, symmetric distributions $\gamma_H$, $\gamma_M$ and $\gamma_T$ of unbounded support. The moments of $\gamma_H$ and $\gamma_T$ are the sum of volumes of solids related to Eulerian numbers, whereas $\gamma_M$ has a bounded smooth density given by the free convolution of the semicircle and normal densities. For symmetric Markov matrices generated by i.i.d. random variables $\{X_{ij}\}_{j>i}$ of mean $m$ and finite variance, scaling the eigenvalues by ${n}$ we prove the almost sure, weak convergence of the spectral measures to the atomic measure at $-m$. If $m=0$, and the fourth moment is finite, we prove that the spectral norm of $\mathbf {M}_n$ scaled by $\sqrt{2n\log n}$ converges almost surely to 1.

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