Beyond universality in random matrix theory

A Edelman (1) , Alice Guionnet (2) , S Péché (3)

1 Department of Mathematics [MIT]
2 UMPA-ENSL - Unité de Mathématiques Pures et Appliquées
3 LPMA - Laboratoire de Probabilités et Modèles Aléatoires

In order to have a better understanding of finite random matrices with non-Gaussian entries, we study the 1/N expansion of local eigenvalue statistics in both the bulk and at the hard edge of the spectrum of random matrices. This gives valuable information about the smallest singular value not seen in universality laws. In particular, we show the dependence on the fourth moment (or the kurtosis) of the entries. This work makes use of the so-called complex Gaussian divisible ensembles for both Wigner and sample covariance matrices.

Domains: Mathematics [math]; Probability [math.PR]

A Edelman, Alice Guionnet, S Péché. Beyond universality in random matrix theory. Annals of Applied Probability, 2016, 26 (3), pp.1659 - 1697. ⟨10.1214/15-AAP1129⟩. ⟨ensl-01400946⟩