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Freeness over the diagonal and outliers detection in deformed random matrices with a variance profile

Information and Inference: A Journal of the IMA(2021)

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摘要
We study the eigenvalue distribution of a Gaussian unitary ensemble (GUE) matrix with a variance profile that is perturbed by an additive random matrix that may possess spikes. Our approach is guided by Voiculescu's notion of freeness with amalgamation over the diagonal and by the notion of deterministic equivalent. This allows to derive a fixed point equation to approximate the spectral distribut...
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关键词
deformed random matrix,variance profile,outlier detection,free probability,freeness with amalgamation,operator-valued Stieltjes transform,Gaussian spiked model,low-rank model
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