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arXiv · 1510.04752

A unified approach for large deviations of bulk and extreme eigenvalues of the Wishart ensemble

Adolfo Camacho Melo·Isaac Pérez Castillo
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Abstract

Within the framework of the Coulomb fluid picture, we present a unified approach to derive the large deviations of bulk and extreme eigenvalues of large Wishart matrices. By analysing the statistics of the shifted index number we are able to derive a rate function $\Psi (c, x)$ depending on two variables: the fraction $c$ of eigenvalues to the left of an infinite energetic barrier at position $x$. For a fixed value of $c$, the rate function gives the large deviations of the bulk eigenvalues. In particular, in the limits $c\to 0$ or $c\to 1$ it is possible to extract the left and right deviations of the smallest and largest eigenvalues, respectively. Alternatively, for a fixed value $x$ of the barrier, the rate function provides the large deviations of the shifted index number. All our analytical findings are compared with Metropolis Monte Carlo simulations, obtaining excellent agreement.

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Adolfo Camacho Melo, Isaac Pérez Castillo. 2015-10-16. A unified approach for large deviations of bulk and extreme eigenvalues of the Wishart ensemble. https://arxiv.org/abs/1510.04752

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