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research article

The spectrum of heavy tailed random matrices

Ben Arous, Gerard
•
Guionnet, Alice
2008
Communications In Mathematical Physics

Let X-N be an N x N random symmetric matrix with independent equidistributed entries. If the law P of the entries has a finite second moment, it was shown by Wigner [14] that the empirical distribution of the eigenvalues of X-N , once renormalized by root N, converges almost surely and in expectation to the so-called semicircular distribution as N goes to infinity. In this paper we study the same question when P is in the domain of attraction of an alpha-stable law. We prove that if we renormalize the eigenvalues by a constant a(N) of order N-1/alpha, the corresponding spectral distribution converges in expectation towards a law mu(alpha) and study some of its properties; it is a heavy-tailed probability measure which is absolutely continuous with respect to Lebesgue measure except possibly on a compact set of capacity zero.

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Type
research article
DOI
10.1007/s00220-007-0389-x
Web of Science ID

WOS:000252941300005

Author(s)
Ben Arous, Gerard
Guionnet, Alice
Date Issued

2008

Publisher

Springer Verlag

Published in
Communications In Mathematical Physics
Volume

278

Start page

715

End page

751

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
CIB  
Available on Infoscience
November 30, 2010
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/61631
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