PROBABILITY DENSITIES AND DISTRIBUTIONS FOR SPIKED AND GENERAL VARIANCE WISHART β-ENSEMBLES

Abstract

A Wishart matrix is said to be spiked when the underlying covariance matrix has a single eigenvalue b different from unity. As b increases through b = 2, a gap forms from the largest eigenvalue to the rest of the spectrum, and with b - 2 of order N-1/3 the scaled largest eigenvalues form a well-defined parameter dependent state. Recent works by Bloemendal and Virág [Limits of spiked random matrices I, Probab. Theory Related Fields156 (2013) 795–825], and Mo [Rank I real Wishart spiked model, Comm. Pure Appl. Math.65 (2012) 1528–1638], have quantified this parameter dependent state for real Wishart matrices from different viewpoints, and the former authors have done similarly for the spiked Wishart β-ensemble. The latter is defined in terms of certain random bidiagonal matrices. We use a recursive structure to give an alternative construction of the spiked and more generally the general variance Wishart β-ensemble, and we give the exact form of the joint eigenvalue PDF for the two matrices in the recurrence. In the case of real quaternion Wishart matrices (β = 4) the latter is recognized as having appeared in earlier studies on symmetrized last passage percolation, allowing the exact form of the scaled distribution of the largest eigenvalue to be given. This extends and simplifies earlier work of Wang, and is an alternative derivation to a result in [A. Bloemendal and B. Virág, Limits of spiked random matrices I, Probab. Theory Related Fields156 (2013) 795–825]. We also use the construction of the spiked Wishart β-ensemble from [A. Bloemendal and B. Virág, Limits of spiked random matrices I, Probab. Theory Related Fields156 (2013) 795–825] to give a simple derivation of the explicit form of the eigenvalue PDF.