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Probability Seminar presents "Outliers in the spectrum for products of independent random matrices"

Outliers in the spectrum for products of independent random matrices
Monday, November 18, 2019 - 4:00pm
Sequoia Hall Room 200
Philip Wood (UC Berkeley)
Abstract / Description: 

For fixed positive integers m, we consider the product of m independent n by n random matrices with iid entries as in the limit as n tends to infinity. Under suitable assumptions on the entries of each matrix, it is known that the limiting empirical distribution of the eigenvalues is described by the mth power of the circular law. Moreover, this same limiting distribution continues to hold if each iid random matrix is additively perturbed by a bounded rank deterministic error. However, the bounded rank perturbations may create one or more outlier eigenvalues. We describe the asymptotic location of the outlier eigenvalues, which extends a result of Terence Tao for the case of a single iid matrix. Our methods also allow us to consider several other types of perturbations, including multiplicative perturbations.

This is joint work with Natalie Coston and Sean O'Rourke.


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