Exact Relation between Singular Value and Eigenvalue Statistics

TL;DR

This paper establishes an explicit, exact mathematical relationship between the joint densities of eigenvalues and singular values of complex bi-unitarily invariant random matrices, including formulas for finite dimensions.

Contribution

It provides the first explicit formula linking eigenvalue and singular value densities for bi-unitarily invariant matrices, extending to deformed ensembles.

Findings

Derived explicit formulas relating eigenvalue and singular value densities.

Established analytical relations among kernels and biorthogonal functions.

Extended the relation to certain non-invariant deformed ensembles.

Abstract

We use classical results from harmonic analysis on matrix spaces to investigate the relation between the joint density of the singular values and of the eigenvalues of complex random matrices which are bi-unitarily invariant (also known as isotropic or unitary rotation invariant). We prove that one of these joint densities determines the other one. Moreover we construct an explicit formula relating both joint densities at finite matrix dimension. This relation covers probability densities as well as signed densities. With the help of this relation we derive general analytical relations among the corresponding kernels and biorthogonal functions for a specific class of polynomial ensembles. Furthermore we show how to generalize the relation between the eigenvalue and singular value statistics to certain situations when the ensemble is deformed by a term which breaks the bi-unitary invariance.