Spectral Measures of Spiked Random Matrices

Nathan Noiry ()
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Nathan Noiry: UPL, Université Paris Nanterre

Journal of Theoretical Probability, 2021, vol. 34, issue 2, 923-952

Abstract: Abstract We study two spiked models of random matrices under general frameworks corresponding, respectively, to additive deformation of random symmetric matrices and multiplicative perturbation of random covariance matrices. In both cases, the limiting spectral measure in the direction of an eigenvector of the perturbation leads to old and new results on the coordinates of eigenvectors.

Keywords: Spiked random matrices; Spectral measures; BBP phase transition; Overlaps; 60B20 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s10959-020-00987-1

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