Probability densities and distributions for spiked and general variance Wishart $\beta$-ensembles

TL;DR

This paper introduces an alternative recursive construction for spiked and general variance Wishart beta-ensembles, deriving explicit joint eigenvalue PDFs and analyzing the distribution of the largest eigenvalue, extending prior results.

Contribution

It provides a new recursive method to construct Wishart beta-ensembles and derives explicit eigenvalue distributions, simplifying and extending previous findings.

Findings

Explicit joint eigenvalue PDFs for spiked and general variance Wishart beta-ensembles.

Distribution of the largest eigenvalue in quaternion Wishart matrices linked to last passage percolation.

Simplified derivation of eigenvalue PDFs compared to earlier methods.

Abstract

A Wishart matrix is said to be spiked when the underlying covariance matrix has a single eigenvalue $b$ different from unity. As $b$ increases through $b=2$, a gap forms from the largest eigenvalue to the rest of the spectrum, and with $b-2$ of order $N^{-1/3}$ the scaled largest eigenvalues form a well defined parameter dependent state. Recent works by Bloemendal and Vir\'ag [BV], and Mo, have quantified this parameter dependent state for real Wishart matrices from different viewpoints, and the former authors have done similarly for the spiked Wishart $\beta$-ensemble. The latter is defined in terms of certain random bidiagonal matrices. We use a recursive structure to give an alternative construction of the spiked and more generally the general variance Wishart $\beta$-ensemble, and we give the exact form of the joint eigenvalue PDF for the two matrices in the recurrence. In the case of real quaternion Wishart matrices ($\beta = 4$) the latter is recognised as having appeared in earlier studies on symmetrized last passage percolation, allowing the exact form of the scaled distribution of the largest eigenvalue to be given. This extends and simplifies earlier work of Wang, and is an alternative derivation to a result in [BV]. We also use the construction of the spiked Wishart $\beta$-ensemble from [BV] to give a simple derivation of the explicit form of the eigenvalue PDF.