Large deviations for spectral measures of some spiked matrices

Nathan Noiry; Alain Rouault

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arXiv · 2009.12541

Large deviations for spectral measures of some spiked matrices

Nathan Noiry·Alain Rouault

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Abstract

We prove large deviations principles for spectral measures of perturbed (or spiked) matrix models in the direction of an eigenvector of the perturbation. In each model under study, we provide two approaches, one of which relying on large deviations principle of unperturbed models derived in the previous work "Sum rules via large deviations" (Gamboa-Nagel-Rouault, JFA, 2016).

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Nathan Noiry, Alain Rouault. 2020-09-26. Large deviations for spectral measures of some spiked matrices. https://arxiv.org/abs/2009.12541

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