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Additive/Multiplicative Free Subordination Property and Limiting Eigenvectors of Spiked Additive Deformations of Wigner Matrices and Spiked Sample Covariance Matrices

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  • M. Capitaine

    (Equipe de Statistique et Probabilités)

Abstract

When some eigenvalues of a spiked additive deformation of a Wigner matrix or a spiked multiplicative deformation of a Wishart matrix separate from the bulk, we study how the corresponding eigenvectors project onto those of the perturbation. We point out that the subordination function relative to the free (additive or multiplicative) convolution plays an important part in the asymptotic behavior.

Suggested Citation

  • M. Capitaine, 2013. "Additive/Multiplicative Free Subordination Property and Limiting Eigenvectors of Spiked Additive Deformations of Wigner Matrices and Spiked Sample Covariance Matrices," Journal of Theoretical Probability, Springer, vol. 26(3), pages 595-648, September.
    • Handle: RePEc:spr:jotpro:v:26:y:2013:i:3:d:10.1007_s10959-012-0416-5
    DOI: 10.1007/s10959-012-0416-5
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    References listed on IDEAS

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    1. Bai, Z. D. & Silverstein, Jack W. & Yin, Y. Q., 1988. "A note on the largest eigenvalue of a large dimensional sample covariance matrix," Journal of Multivariate Analysis, Elsevier, vol. 26(2), pages 166-168, August.
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    5. Silverstein, J. W. & Choi, S. I., 1995. "Analysis of the Limiting Spectral Distribution of Large Dimensional Random Matrices," Journal of Multivariate Analysis, Elsevier, vol. 54(2), pages 295-309, August.
    6. Baik, Jinho & Silverstein, Jack W., 2006. "Eigenvalues of large sample covariance matrices of spiked population models," Journal of Multivariate Analysis, Elsevier, vol. 97(6), pages 1382-1408, July.
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    Cited by:

    1. Nathan Noiry, 2021. "Spectral Measures of Spiked Random Matrices," Journal of Theoretical Probability, Springer, vol. 34(2), pages 923-952, June.

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