Correlations between eigenvalues of large random matrices with independent entries.

نویسندگان

  • D'Anna
  • Zee
چکیده

We derive the connected correlation functions for eigenvalues of large Her-mitian random matrices with independently distributed elements using both a diagrammatic and a renormalization group (RG) inspired approach. With the diagrammatic method we obtain a general form for the one, two and three-point connected Green function for this class of ensembles when matrix elements are identically distributed, and then discuss the derivation of higher order functions by the same approach. Using the RG approach we re-derive the one and two-point Green functions and show they are unchanged by choosing certain ensembles with non-identically distributed elements. Throughout, we compare the Green functions we obtain to those from the class of ensembles with unitary invariant distributions and discuss universality in both ensemble classes.

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

APPLICATION OF THE RANDOM MATRIX THEORY ON THE CROSS-CORRELATION OF STOCK ‎PRICES

The analysis of cross-correlations is extensively applied for understanding of interconnections in stock markets. Variety of methods are used in order to search stock cross-correlations including the Random Matrix Theory (RMT), the Principal Component Analysis (PCA) and the Hierachical ‎Structures.‎ In ‎this work‎, we analyze cross-crrelations between price fluctuations of 20 ‎company ‎stocks‎...

متن کامل

A Law of Large Numbers for Finite-range Dependent Random Matrices

We consider random hermitian matrices in which distant abovediagonal entries are independent but nearby entries may be correlated. We find the limit of the empirical distribution of eigenvalues by combinatorial methods. We also prove that the limit has algebraic Stieltjes transform by an argument based on dimension theory of noetherian local rings.

متن کامل

On the Empirical Distribution of Eigenvalues of a Class of Large Dimensional Random Matrices

A stronger result on the limiting distribution of the eigenvalues of random Hermitian matrices of the form A+XTX∗, originally studied in Marčenko and Pastur [4], is presented. Here, X (N×n), T (n×n), and A (N×N) are independent, with X containing i.i.d. entries having finite second moments, T is diagonal with real (diagonal) entries, A is Hermitian, and n/N → c > 0 as N → ∞. Under addtional ass...

متن کامل

On the Spectrum of Sum and Product of Non-hermitian Random Matrices

In this note, we revisit the work of T. Tao and V. Vu on large non-hermitian random matrices with independent and identically distributed (i.i.d.) entries with mean zero and unit variance. We prove under weaker assumptions that the limit spectral distribution of sum and product of nonhermitian random matrices is universal. As a byproduct, we show that the generalized eigenvalues distribution of...

متن کامل

Eigenvalue variance bounds for Wigner and covariance random matrices

This work is concerned with finite range bounds on the variance of individual eigenvalues of Wigner random matrices, in the bulk and at the edge of the spectrum, as well as for some intermediate eigenvalues. Relying on the GUE example, which needs to be investigated first, the main bounds are extended to families of Hermitian Wigner matrices by means of the Tao and Vu Four Moment Theorem and re...

متن کامل

Universality of some models of random matrices and random processes

Many limit theorems in probability theory are universal in the sense that the limiting distribution of a sequence of random variables does not depend on the particular distribution of these random variables. This universality phenomenon motivates many theorems and conjectures in probability theory. For example the limiting distribution in the central limit theorem for the suitably normalized su...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

عنوان ژورنال:
  • Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics

دوره 53 2  شماره 

صفحات  -

تاریخ انتشار 1996