The local semicircle law for a general class of random matrices

László Erdős (LMU-University of Munich)
Antti Knowles (New York University)
Horng-Tzer Yau (Harvard University)
Jun Yin (University of Wisconsin)

Abstract


We consider a general class of $N\times N$ random matrices whose entries $h_{ij}$ are independent up to a symmetry constraint, but not necessarily identically distributed. Our main result is a local semicircle law which improves previous results both in the bulk and at the edge. The error bounds are given in terms of the basic small parameter of the model, $\max_{i,j} \mathbb{E} \left|h_{ij}\right|^2$. As a consequence, we prove the universality of the local $n$-point correlation functions in the bulk spectrum for a class of matrices whose entries do not have comparable variances, including random band matrices with band width  $W\gg N^{1-\varepsilon_n}$ with some $\varepsilon_n>0$ and with a negligible mean-field component. In addition, we provide a coherent and pedagogical proof of the local semicircle law, streamlining and strengthening previous arguments.

Full Text: Download PDF | View PDF online (requires PDF plugin)

Pages: 1-58

Publication Date: May 29, 2013

DOI: 10.1214/EJP.v18-2473

References

  • Bai, Z. D.; Miao, Baiqi; Tsay, Jhishen. Convergence rates of the spectral distributions of large Wigner matrices. Int. Math. J. 1 (2002), no. 1, 65--90. MR1825933
  • Cacciapuoti, C., Maltsev, A., Schlein, B.: Local Marchenko-Pastur Law at the Hard Edge of Sample Covariance Matrices. Preprint. arxiv:1206.1730
  • Chatterjee, Sourav. A generalization of the Lindeberg principle. Ann. Probab. 34 (2006), no. 6, 2061--2076. MR2294976
  • Davies, E. B. The functional calculus. J. London Math. Soc. (2) 52 (1995), no. 1, 166--176. MR1345723
  • Erdős, László; Knowles, Antti. Quantum diffusion and delocalization for band matrices with general distribution. Ann. Henri Poincaré 12 (2011), no. 7, 1227--1319. MR2846669
  • Erdös, L., Knowles, A., Yau, H.-T., Yin, J.: Spectral Statistics of Erdös-Rényi Graphs I: Local Semicircle Law. To appear in Annals Prob. Preprint. Arxiv:1103.1919
  • Erdős, László; Knowles, Antti; Yau, Horng-Tzer; Yin, Jun. Spectral statistics of Erdős-Rényi Graphs II: Eigenvalue spacing and the extreme eigenvalues. Comm. Math. Phys. 314 (2012), no. 3, 587--640. MR2964770
  • Erdös, L., Knowles, A., Yau, H.-T., Yin, J.: Delocalization and Diffusion Profile for Random Band Matrices. Preprint. Arxiv:1205.5669
  • Erdös, L., Knowles, A., Yau, H.-T.: Averaging Fluctuations in Resolvents of Random Band Matrices. Preprint. Arxiv:1205.5664
  • Erdős, László; Péché, Sandrine; Ramírez, José A.; Schlein, Benjamin; Yau, Horng-Tzer. Bulk universality for Wigner matrices. Comm. Pure Appl. Math. 63 (2010), no. 7, 895--925. MR2662426
  • Erdős, László; Ramírez, José A.; Schlein, Benjamin; Yau, Horng-Tzer. Universality of sine-kernel for Wigner matrices with a small Gaussian perturbation. Electron. J. Probab. 15 (2010), no. 18, 526--603. MR2639734
  • Erdős, László; Schlein, Benjamin; Yau, Horng-Tzer. Semicircle law on short scales and delocalization of eigenvectors for Wigner random matrices. Ann. Probab. 37 (2009), no. 3, 815--852. MR2537522
  • Erdős, László; Schlein, Benjamin; Yau, Horng-Tzer. Local semicircle law and complete delocalization for Wigner random matrices. Comm. Math. Phys. 287 (2009), no. 2, 641--655. MR2481753
  • Erdős, László; Schlein, Benjamin; Yau, Horng-Tzer. Universality of random matrices and local relaxation flow. Invent. Math. 185 (2011), no. 1, 75--119. MR2810797
  • Erdős, László; Schlein, Benjamin; Yau, Horng-Tzer; Yin, Jun. The local relaxation flow approach to universality of the local statistics for random matrices. Ann. Inst. Henri Poincaré Probab. Stat. 48 (2012), no. 1, 1--46. MR2919197
  • Erdős, László; Yau, Horng-Tzer. Universality of local spectral statistics of random matrices. Bull. Amer. Math. Soc. (N.S.) 49 (2012), no. 3, 377--414. MR2917064
  • Erdös, L., Yau, H.-T., Yin, J.: Bulk universality for generalized Wigner matrices. To appear in Prob. Theor. Rel. Fields. Preprint arXiv:1001.3453.
  • Erdős, László; Yau, Horng-Tzer; Yin, Jun. Universality for generalized Wigner matrices with Bernoulli distribution. J. Comb. 2 (2011), no. 1, 15--81. MR2847916
  • Erdős, László; Yau, Horng-Tzer; Yin, Jun. Rigidity of eigenvalues of generalized Wigner matrices. Adv. Math. 229 (2012), no. 3, 1435--1515. MR2871147
  • Guionnet, A.; Zeitouni, O. Concentration of the spectral measure for large matrices. Electron. Comm. Probab. 5 (2000), 119--136 (electronic). MR1781846
  • Helffer, B.; Sjöstrand, J. Équation de Schrödinger avec champ magnétique et équation de Harper. (French) [The Schrodinger equation with magnetic field, and the Harper equation] Schrödinger operators (Sønderborg, 1988), 118--197, Lecture Notes in Phys., 345, Springer, Berlin, 1989. MR1037319
  • Feldheim, Ohad N.; Sodin, Sasha. A universality result for the smallest eigenvalues of certain sample covariance matrices. Geom. Funct. Anal. 20 (2010), no. 1, 88--123. MR2647136
  • Fyodorov, Yan V.; Mirlin, Alexander D. Scaling properties of localization in random band matrices: a $\sigma$-model approach. Phys. Rev. Lett. 67 (1991), no. 18, 2405--2409. MR1130103
  • V. A. Marcenko and L. A. Pastur, Distribution of eigenvalues for some sets of random matrices, Sbornik: Mathematics 1 (1967), 457--483.
  • Mehta, Madan Lal. Random matrices. Second edition. Academic Press, Inc., Boston, MA, 1991. xviii+562 pp. ISBN: 0-12-488051-7 MR1083764
  • Pillai, N.S. and Yin, J.: Universality of covariance matrices. Preprint arXiv:1110.2501
  • Sodin, Sasha. The spectral edge of some random band matrices. Ann. of Math. (2) 172 (2010), no. 3, 2223--2251. MR2726110
  • Spencer, Thomas. Random banded and sparse matrices. The Oxford handbook of random matrix theory, 471--488, Oxford Univ. Press, Oxford, 2011. MR2932643
  • Tao, Terence; Vu, Van. Random matrices: universality of local eigenvalue statistics. Acta Math. 206 (2011), no. 1, 127--204. MR2784665
  • Tao, T. and Vu, V.: Random matrices: Sharp concentration of eigenvalues. Preprint arXiv:1201.4789
  • Wigner, Eugene P. Characteristic vectors of bordered matrices with infinite dimensions. Ann. of Math. (2) 62 (1955), 548--564. MR0077805


Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.