Low rank perturbations of large elliptic random matrices

Sean O'Rourke (Yale University)
David Renfrew (UCLA)

Abstract


We study the asymptotic behavior of outliers in the spectrum of bounded rank perturbations of large random matrices. In particular, we consider perturbations of elliptic random matrices which generalize both Wigner random matrices and non-Hermitian random matrices with iid entries. As a consequence, we recover the results of Capitaine, Donati-Martin, and Féral for perturbed Wigner matrices as well as the results of Tao for perturbed random matrices with iid entries.  Along the way, we prove a number of interesting results concerning elliptic random matrices whose entries have finite fourth moment; these results include a bound on the least singular value and the asymptotic behavior of the spectral radius. 

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Pages: 1-65

Publication Date: May 4, 2014

DOI: 10.1214/EJP.v19-3057

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