The largest real eigenvalue in the real Ginibre ensemble and its relation to the Zakharov-Shabat system

TL;DR

This paper investigates the distribution of the largest real eigenvalue in the real Ginibre ensemble, revealing a connection to the Zakharov-Shabat system and providing new formulas and tail estimates for this distribution.

Contribution

It establishes a closed-form expression for the limiting distribution of the largest real eigenvalue using inverse scattering methods related to the Zakharov-Shabat system.

Findings

Derived a new determinantal representation for the distribution

Connected the eigenvalue distribution to the Zakharov-Shabat system

Extended tail estimates using nonlinear steepest descent techniques

Abstract

The real Ginibre ensemble consists of $n\times n$ real matrices ${\bf X}$ whose entries are i.i.d. standard normal random variables. In sharp contrast to the complex and quaternion Ginibre ensemble, real eigenvalues in the real Ginibre ensemble attain positive likelihood. In turn, the spectral radius $R_n=\max_{1\leq j\leq n}|z_j({\bf X})|$ of the eigenvalues $z_j({\bf X})\in\mathbb{C}$ of a real Ginibre matrix ${\bf X}$ follows a different limiting law (as $n\rightarrow\infty$) for $z_j({\bf X})\in\mathbb{R}$ than for $z_j({\bf X})\in\mathbb{C}\setminus\mathbb{R}$. Building on previous work by Rider, Sinclair \cite{RS} and Poplavskyi, Tribe, Zaboronski \cite{PTZ}, we show that the limiting distribution of $\max_{j:z_j\in\mathbb{R}}z_j({\bf X})$ admits a closed form expression in terms of a distinguished solution to an inverse scattering problem for the Zakharov-Shabat system. As byproducts of our analysis we also obtain a new determinantal representation for the limiting distribution of $\max_{j:z_j\in\mathbb{R}}z_j({\bf X})$ and extend recent tail estimates in \cite{PTZ} via nonlinear steepest descent techniques.