Finite rank perturbation of non-Hermitian random matrices: heavy tail and sparse regimes
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arXiv
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866914068647903232 |
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| author | Han, Yi |
| author_facet | Han, Yi |
| contents | We revisit the problem of perturbing a large, i.i.d. random matrix by a finite rank error. It is known that when elements of the i.i.d. matrix have finite fourth moment, then the outlier eigenvalues of the perturbed matrix are close to the outlier eigenvalues of the error, as long as the perturbation is relatively small. We first prove that under a merely second moment condition, for a large class of perturbation matrix with bounded rank and bounded operator norm, the outlier eigenvalues of perturbed matrix still converge to that of the perturbation. We then prove that for a matrix with i.i.d. Bernoulli $(d/n)$ entries or Bernoulli $(d_n/n)$ entries with $d_n=n^{o(1)}$, the same result holds for perturbation matrices with a bounded number of nonzero elements. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_21543 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Finite rank perturbation of non-Hermitian random matrices: heavy tail and sparse regimes Han, Yi Probability We revisit the problem of perturbing a large, i.i.d. random matrix by a finite rank error. It is known that when elements of the i.i.d. matrix have finite fourth moment, then the outlier eigenvalues of the perturbed matrix are close to the outlier eigenvalues of the error, as long as the perturbation is relatively small. We first prove that under a merely second moment condition, for a large class of perturbation matrix with bounded rank and bounded operator norm, the outlier eigenvalues of perturbed matrix still converge to that of the perturbation. We then prove that for a matrix with i.i.d. Bernoulli $(d/n)$ entries or Bernoulli $(d_n/n)$ entries with $d_n=n^{o(1)}$, the same result holds for perturbation matrices with a bounded number of nonzero elements. |
| title | Finite rank perturbation of non-Hermitian random matrices: heavy tail and sparse regimes |
| topic | Probability |
| url | https://arxiv.org/abs/2407.21543 |