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Spectral rigidity for addition of random matrices at the regular edge

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arxiv 1708.01597 v4 pith:JH3NJYXX submitted 2017-08-04 math.PR math-phmath.MP

classification math.PRmath-phmath.MP
keywords haarmatrixdensityedgeeigenvaluelocalmatricesoptimal
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abstract

We consider the sum of two large Hermitian matrices $A$ and $B$ with a Haar unitary conjugation bringing them into a general relative position. We prove that the eigenvalue density on the scale slightly above the local eigenvalue spacing is asymptotically given by the free convolution of the laws of $A$ and $B$ as the dimension of the matrix increases. This implies optimal rigidity of the eigenvalues and optimal rate of convergence in Voiculescu's theorem. Our previous works [3,4] established these results in the bulk spectrum, the current paper completely settles the problem at the spectral edges provided they have the typical square-root behavior. The key element of our proof is to compensate the deterioration of the stability of the subordination equations by sharp error estimates that properly account for the local density near the edge. Our results also hold if the Haar unitary matrix is replaced by the Haar orthogonal matrix.

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  1. Universality of the least singular value for the sum of random matrices

    math.PR 2019-08 conditional novelty 7.0 of 10

    The least singular value of R*XT + U*YV, after scaling by N, converges in distribution to 1 - e^{-r^2}, the same limit as for a complex Gaussian matrix.

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