Large deviations for the largest eigenvalues and eigenvectors of spiked Gaussian random matrices - Université de Lyon
Journal Articles Electronic Communications in Probability Year : 2020

Large deviations for the largest eigenvalues and eigenvectors of spiked Gaussian random matrices

Abstract

We consider matrices formed by a random N×N matrix drawn from the Gaussian Orthogonal Ensemble (or Gaussian Unitary Ensemble) plus a rank-one perturbation of strength θ, and focus on the largest eigenvalue, x, and the component, u, of the corresponding eigenvector in the direction associated to the rank-one perturbation. We obtain the large deviation principle governing the atypical joint fluctuations of $x$ and $u$. Interestingly, for θ > 1, large deviations events characterized by a small value of $u$, i.e. $u$ < 1 − 1/θ, are such that the second-largest eigenvalue pops out from the Wigner semi-circle and the associated eigenvector orients in the direction corresponding to the rank-one perturbation. We generalize these results to the Wishart Ensemble, and we extend them to the first $n$ eigenvalues and the associated eigenvectors.
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cea-04540614 , version 1 (02-12-2024)

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Giulio Biroli, Alice Guionnet. Large deviations for the largest eigenvalues and eigenvectors of spiked Gaussian random matrices. Electronic Communications in Probability, 2020, 25 (70), pp.1-13. ⟨10.1214/20-ECP343⟩. ⟨cea-04540614⟩
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