Subordination for the sum of two random matrices

Kargin, V. ^[1]
1. [1] University of Cambridge
  
  University of Cambridge
  
  Cambridge District, Reino Unido
Localización: Annals of probability: An official journal of the Institute of Mathematical Statistics, ISSN 0091-1798, Vol. 43, Nº. 4, 2015, págs. 2119-2150
Idioma: inglés
DOI: 10.1214/14-AOP929
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Resumen
- This paper is about the relation of random matrix theory and the subordination phenomenon in complex analysis. We find that the resolvent of the sum of two random matrices is approximately subordinated to the resolvents of the original matrices. We estimate the error terms in this relation and in the subordination relation for the traces of the resolvents. This allows us to prove a local limit law for eigenvalues and a delocalization result for eigenvectors of the sum of two random matrices. In addition, we use subordination to determine the limit of the largest eigenvalue for the rank-one deformations of unitary-invariant random matrices.