Large Deviations for a Non-Centered Wishart Matrix
Hardy, Adrien ; Kuijlaars, Arno,
HAL, hal-01889788 / Harvested from HAL
We investigate an additive perturbation of a complex Wishart random matrix and prove that a large deviation principle holds for the spectral measures. The rate function is associated to a vector equilibrium problem coming from logarithmic potential theory, which in our case is a quadratic map involving the logarithmic energies, or Voiculescu's entropies, of two measures in the presence of an external field and an upper constraint. The proof is based on a two type particles Coulomb gas representation for the eigenvalue distribution, which gives a new insight on why such variational problems should describe the limiting spectral distribution. This representation is available because of a Nikishin structure satisfied by the weights of the multiple orthogonal polynomials hidden in the background.
Publié le : 2019-07-12
Classification:  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR],  [PHYS.MPHY]Physics [physics]/Mathematical Physics [math-ph]
@article{hal-01889788,
     author = {Hardy, Adrien and Kuijlaars, Arno, },
     title = {Large Deviations for a Non-Centered Wishart Matrix},
     journal = {HAL},
     volume = {12},
     number = {0},
     year = {12},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-01889788}
}
Hardy, Adrien; Kuijlaars, Arno, . Large Deviations for a Non-Centered Wishart Matrix. HAL, Tome 12 (12) no. 0, . http://gdmltest.u-ga.fr/item/hal-01889788/