Large deviations for the largest eigenvalue of sub-Gaussian matrices

TL;DR

This paper investigates the large deviation behavior of the largest eigenvalue in sub-Gaussian Wigner matrices, revealing a universal regime for small deviations and a non-universal, localized eigenvector regime for large deviations.

Contribution

It establishes large deviation estimates for the largest eigenvalue of sub-Gaussian matrices, identifying a transition between universal and non-universal regimes.

Findings

Large deviations are universal for small deviations, matching GOE behavior.

For very large deviations, the rate function becomes non-universal.

Eigenvectors become localized during large deviation events.

Abstract

We establish large deviations estimates for the largest eigenvalue of Wigner matrices with sub-Gaussian entries. Under technical assumptions, we show that the large deviation behavior of the largest eigenvalue is universal for small deviations, in the sense that the speed and the rate function are the same as in the case of the GOE. In contrast, in the regime of very large deviations, we obtain a non-universal rate function and we prove that the associated eigenvector is localized given the large deviation event, thus establishing the existence of a transition between two different large deviation mechanisms.