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Asymptotics for characteristic polynomials of Wishart type products of complex Gaussian and truncated unitary random matrices

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  • Neuschel, Thorsten
  • Stivigny, Dries

Abstract

Based on the multivariate saddle point method we study the asymptotic behavior of the characteristic polynomials associated to Wishart type random matrices that are formed as products consisting of independent standard complex Gaussian and a truncated Haar distributed unitary random matrix. These polynomials form a general class of hypergeometric functions of type 2Fr. We describe the oscillatory behavior on the asymptotic interval of zeros by means of formulae of Plancherel–Rotach type and subsequently use it to obtain the limiting distribution of the suitably rescaled zeros. Moreover, we show that the asymptotic zero distribution lies in the class of Raney distributions and by introducing appropriate coordinates elementary and explicit characterizations are derived for the densities as well as for the distribution functions.

Suggested Citation

  • Neuschel, Thorsten & Stivigny, Dries, 2016. "Asymptotics for characteristic polynomials of Wishart type products of complex Gaussian and truncated unitary random matrices," Journal of Multivariate Analysis, Elsevier, vol. 147(C), pages 155-167.
    • Handle: RePEc:eee:jmvana:v:147:y:2016:i:c:p:155-167
    DOI: 10.1016/j.jmva.2016.01.008
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