Large deviations for the largest eigenvalue of the sum of two random matrices - Archive ouverte HAL
Journal Articles Electronic Journal of Probability Year : 2020

Large deviations for the largest eigenvalue of the sum of two random matrices

Abstract

In this paper, we consider the addition of two matrices in generic position, namely A + U BU * , where U is drawn under the Haar measure on the unitary or the orthogonal group. We show that, under mild conditions on the empirical spectral measures of the deterministic matrices A and B, the law of the largest eigenvalue satisfies a large deviation principle, in the scale N, with an explicit rate function involving the limit of spherical integrals. We cover in particular all the cases when A and B have no outliers.
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Dates and versions

hal-01887673 , version 1 (04-10-2018)
hal-01887673 , version 2 (23-11-2018)

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Alice Guionnet, Mylène Maïda. Large deviations for the largest eigenvalue of the sum of two random matrices. Electronic Journal of Probability, 2020, 25, pp.14. ⟨hal-01887673v2⟩
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