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arxiv: 1610.02153 · v3 · pith:FQ3FPV4Gnew · submitted 2016-10-07 · 🧮 math.PR

Distribution of singular values of random band matrices; Marchenko-Pastur law and more

classification 🧮 math.PR
keywords stieltjestransformbandmatricesbandwidthdistributionequationintegral
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We consider the limiting spectral distribution of matrices of the form $\frac{1}{2b_{n}+1} (R + X)(R + X)^{*}$, where $X$ is an $n\times n$ band matrix of bandwidth $b_{n}$ and $R$ is a non random band matrix of bandwidth $b_{n}$. We show that the Stieltjes transform of ESD of such matrices converges to the Stieltjes transform of a non-random measure. And the limiting Stieltjes transform satisfies an integral equation. For $R=0$, the integral equation yields the Stieltjes transform of the Marchenko-Pastur law.

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