The rank 1 real Wishart spiked model

Details The rank 1 real Wishart spiked model The rank 1 real Wishart spiked model

2011-01-26

arxiv.org/abs/1101.5144v1

Mathematics

Probability

Replacement of arXiv:1011.5404, asymptotic analysis included. 104 pages and 2 figures

Scientific paper

In this paper, we consider N-dimensional real Wishart matrices Y in the class $W_{\mathbb{R}}(\Sigma,M)$ in which all but one eigenvalues of $\Sigma$ is 1. Let the non-trivial eigenvalue of $\Sigma$ be $1+\tau$, then as N, $M\rightarrow\infty$, with $M/N=\gamma^2$ finite and non-zero, the eigenvalue distribution of $Y$ will converge into the Marchenko-Pastur distribution inside a bulk region. When $\tau$ increases from zero, one starts to see a stray eigenvalue of Y outside of the support of the Marchenko-Pastur density. As the this stray eigenvalue leaves the bulk region, a phase transition will occur in the largest eigenvalue distribution of the Wishart matrix. In this paper we will compute the asymptotics of the largest eigenvalue distribution when the phase transition occur. We will first establish the results that are valid for all N and M and will use them to carry out the asymptotic analysis. In particular, we have derived a contour integral formula for the Harish-Chandra Itzykson-Zuber integral $\int_{O(N)}e^{-\tr(XgYg^T)}g^T\D g$ when X, Y are real symmetric and Y is a rank 1 matrix. This allows us to write down a Fredholm determinant formula for the largest eigenvalue distribution and analyze it using orthogonal polynomial techniques. As a result, we obtain an integral formula for the largest eigenvalue distribution in the large N limit characterized by Painleve transcendents. The approach used in this paper is very different from a recent paper (Bloemendal and Virag ArXiv:1011.1877), in which the largest eigenvalue distribution was obtained using stochastic operator method. In particular, the Painleve formula for the largest eigenvalue distribution obtained in this paper is new.

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