The distribution of overlaps between eigenvectors of Ginibre matrices

P. Bourgade, G. Dubach

Research output: Contribution to journalArticle

Abstract

We study the overlaps between eigenvectors of nonnormal matrices. They quantify the stability of the spectrum, and characterize the joint eigenvalues increments under Dyson-type dynamics. Well known work by Chalker and Mehlig calculated the expectation of these overlaps for complex Ginibre matrices. For the same model, we extend their results by deriving the distribution of diagonal overlaps (the condition numbers), and their correlations. We prove: (i) convergence of condition numbers for bulk eigenvalues to an inverse Gamma distribution; more generally, we decompose the quenched overlap (i.e. conditioned on eigenvalues) as a product of independent random variables; (ii) asymptotic expectation of off-diagonal overlaps, both for microscopic or mesoscopic separation of the corresponding eigenvalues; (iii) decorrelation of condition numbers associated to eigenvalues at mesoscopic distance, at polynomial speed in the dimension; (iv) second moment asymptotics to identify the fluctuations order for off-diagonal overlaps, when the related eigenvalues are separated by any mesoscopic scale; (v) a new formula for the correlation between overlaps for eigenvalues at microscopic distance, both diagonal and off-diagonal. These results imply estimates on the extreme condition numbers, the volume of the pseudospectrum and the diffusive evolution of eigenvalues under Dyson-type dynamics, at equilibrium.

Original languageEnglish (US)
Pages (from-to)397-464
Number of pages68
JournalProbability Theory and Related Fields
Volume177
Issue number1-2
DOIs
StatePublished - Jun 1 2020

Keywords

  • Condition number
  • Eigenvectors overlaps
  • Ginibre ensemble
  • Nonnormal matrices
  • Pseudospectrum

ASJC Scopus subject areas

  • Analysis
  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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