Dimension Monotonicity in Laguerre Ensembles I: Fractional Moments and Shape Transitions in the Unitary Case
Let $W_{N,N+λ}$ have the Laguerre unitary distribution with size $N$ and real shape $λ\ge0$. For $s>0$, we consider the normalized moment $$C_{s,λ}(N)=N^{-s-1}\mathbb{E}[\operatorname{Tr}W_{N,N+λ}^{s}]$$ and its dimension decrement $Γ_{N,s,λ}=C_{s,λ}(N)-C_{s,λ}(N+1)$. Iterating the Laguerre moment recurrence separates this decrement into a square source and a nonnegative shape source. The square source gives the complete finite-dimensional sign diagram: $C_{s,0}(N)$ decreases for $0 2$, increases for $1 0$ and every $N$, the decrement is strictly increasing in $λ$. The same decomposition determines the critical shrinking-shape scales: $N^{-2s}$ for $0 1/2$. In the convex range $1<s<2$, where the two sources have opposite signs, the transition occurs when $Nλ_N$ is of order one, with critical constant $$τ_s^*=\frac{s(s-1)(2-s)}{6(2s-1)}.$$ In the convex range, both crossings are unique for every finite $N$, and we determine their locations to second order. At $s=1/2$ we also obtain a bounded-shape two-term expansion, which supplies the unitary estimates used in the companion orthogonal paper.