Block-modified Wishart matrices and free Poisson laws
classification
🧮 math.PR
keywords
varphideltafreemathbbmatricesmatrixpoissontilde
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We study the random matrices of type $\tilde{W}=(id\otimes\varphi)W$, where $W$ is a complex Wishart matrix of parameters $(dn,dm)$, and $\varphi:M_n(\mathbb C)\to M_n(\mathbb C)$ is a self-adjoint linear map. We prove that, under suitable assumptions, we have the $d\to\infty$ eigenvalue distribution formula $\delta m\tilde{W}\sim\pi_{mn\rho}\boxtimes\nu$, where $\rho$ is the law of $\varphi$, viewed as a square matrix, $\pi$ is the free Poisson law, $\nu$ is the law of $D=\varphi(1)$, and $\delta=tr(D)$.
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