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Van Vu and I have just uploaded to the arXiv our paper “Random matrices: Universality of local spectral statistics of non-Hermitian matrices“. The main result of this paper is a “Four Moment Theorem” that establishes universality for local spectral statistics of *non-Hermitian* matrices with independent entries, under the additional hypotheses that the entries of the matrix decay exponentially, and match moments with either the real or complex gaussian ensemble to fourth order. This is the non-Hermitian analogue of a long string of recent results establishing universality of local statistics in the Hermitian case (as discussed for instance in this recent survey of Van and myself, and also in several other places).

The complex case is somewhat easier to describe. Given a (non-Hermitian) random matrix ensemble of matrices, one can arbitrarily enumerate the (geometric) eigenvalues as , and one can then define the -point correlation functions to be the symmetric functions such that

In the case when is drawn from the complex gaussian ensemble, so that all the entries are independent complex gaussians of mean zero and variance one, it is a classical result of Ginibre that the asymptotics of near some point as and is fixed are given by the determinantal rule

for , where is the reproducing kernel

(There is also an asymptotic for the boundary case , but it is more complicated to state.) In particular, we see that for almost every , which is a manifestation of the well-known *circular law* for these matrices; but the circular law only captures the macroscopic structure of the spectrum, whereas the asymptotic (1) describes the microscopic structure.

Our first main result is that the asymptotic (1) for also holds (in the sense of vague convergence) when is a matrix whose entries are independent with mean zero, variance one, exponentially decaying tails, and which all match moments with the complex gaussian to fourth order. (Actually we prove a stronger result than this which is valid for all bounded and has more uniform bounds, but is a bit more technical to state.) An analogous result is also established for real gaussians (but now one has to separate the correlation function into components depending on how many eigenvalues are real and how many are strictly complex; also, the limiting distribution is more complicated, being described by Pfaffians rather than determinants). Among other things, this allows us to partially extend some known results on complex or real gaussian ensembles to more general ensembles. For instance, there is a central limit theorem of Rider which establishes a central limit theorem for the number of eigenvalues of a complex gaussian matrix in a mesoscopic disk; from our results, we can extend this central limit theorem to matrices that match the complex gaussian ensemble to fourth order, provided that the disk is small enough (for technical reasons, our error bounds are not strong enough to handle large disks). Similarly, extending some results of Edelman-Kostlan-Shub and of Forrester-Nagao, we can show that for a matrix matching the real gaussian ensemble to fourth order, the number of real eigenvalues is with probability for some absolute constant .

There are several steps involved in the proof. The first step is to apply the *Girko Hermitisation trick* to replace the problem of understanding the spectrum of a non-Hermitian matrix, with that of understanding the spectrum of various Hermitian matrices. The two identities that realise this trick are, firstly, Jensen’s formula

that relates the local distribution of eigenvalues to the log-determinants , and secondly the elementary identity

that relates the log-determinants of to the log-determinants of the Hermitian matrices

The main difficulty is then to obtain concentration and universality results for the Hermitian log-determinants . This turns out to be a task that is analogous to the task of obtaining concentration for Wigner matrices (as we did in this recent paper), as well as central limit theorems for log-determinants of Wigner matrices (as we did in this other recent paper). In both of these papers, the main idea was to use the Four Moment Theorem for Wigner matrices (which can now be proven relatively easily by a combination of the local semi-circular law and resolvent swapping methods), combined with (in the latter paper) a central limit theorem for the gaussian unitary ensemble (GUE). This latter task was achieved by using the convenient Trotter normal form to tridiagonalise a GUE matrix, which has the effect of revealing the determinant of that matrix as the solution to a certain linear stochastic difference equation, and one can analyse the distribution of that solution via such tools as the martingale central limit theorem.

The matrices are somewhat more complicated than Wigner matrices (for instance, the semi-circular law must be replaced by a distorted Marchenko-Pastur law), but the same general strategy works to obtain concentration and universality for their log-determinants. The main new difficulty that arises is that the analogue of the Trotter norm for gaussian random matrices is not tridiagonal, but rather Hessenberg (i.e. upper-triangular except for the lower diagonal). This ultimately has the effect of expressing the relevant determinant as the solution to a *nonlinear* stochastic difference equation, which is a bit trickier to solve for. Fortunately, it turns out that one only needs good lower bounds on the solution, as one can use the second moment method to upper bound the determinant and hence the log-determinant (following a classical computation of Turan). This simplifies the analysis on the equation somewhat.

While this result is the first local universality result in the category of random matrices with independent entries, there are still two limitations to the result which one would like to remove. The first is the moment matching hypotheses on the matrix. Very recently, one of the ingredients of our paper, namely the local circular law, was proved without moment matching hypotheses by Bourgade, Yau, and Yin (provided one stays away from the edge of the spectrum); however, as of this time of writing the other main ingredient – the universality of the log-determinant – still requires moment matching. (The standard tool for obtaining universality without moment matching hypotheses is the heat flow method (and more specifically, the local relaxation flow method), but the analogue of Dyson Brownian motion in the non-Hermitian setting appears to be somewhat intractible, being a coupled flow on both the eigenvalues and eigenvectors rather than just on the eigenvalues alone.)

Van Vu and I have just uploaded to the arXiv our paper “Random matrices: The Universality phenomenon for Wigner ensembles“. This survey is a longer version (58 pages) of a previous short survey we wrote up a few months ago. The survey focuses on recent progress in understanding the universality phenomenon for Hermitian Wigner ensembles, of which the Gaussian Unitary Ensemble (GUE) is the most well known. The one-sentence summary of this progress is that many of the asymptotic spectral statistics (e.g. correlation functions, eigenvalue gaps, determinants, etc.) that were previously known for GUE matrices, are now known for very large classes of Wigner ensembles as well. There are however a wide variety of results of this type, due to the large number of interesting spectral statistics, the varying hypotheses placed on the ensemble, and the different modes of convergence studied, and it is difficult to isolate a single such result currently as *the* definitive universality result. (In particular, there is at present a tradeoff between generality of ensemble and strength of convergence; the universality results that are available for the most general classes of ensemble are only presently able to demonstrate a rather weak sense of convergence to the universal distribution (involving an additional averaging in the energy parameter), which limits the applicability of such results to a number of interesting questions in which energy averaging is not permissible, such as the study of the least singular value of a Wigner matrix, or of related quantities such as the condition number or determinant. But it is conceivable that this tradeoff is a temporary phenomenon and may be eliminated by future work in this area; in the case of Hermitian matrices whose entries have the same second moments as that of the GUE ensemble, for instance, the need for energy averaging has already been removed.)

Nevertheless, throughout the family of results that have been obtained recently, there are two main methods which have been fundamental to almost all of the recent progress in extending from special ensembles such as GUE to general ensembles. The first method, developed extensively by Erdos, Schlein, Yau, Yin, and others (and building on an initial breakthrough by Johansson), is the *heat flow method*, which exploits the rapid convergence to equilibrium of the spectral statistics of matrices undergoing Dyson-type flows towards GUE. (An important aspect to this method is the ability to accelerate the convergence to equilibrium by localising the Hamiltonian, in order to eliminate the slowest modes of the flow; this refinement of the method is known as the “local relaxation flow” method. Unfortunately, the translation mode is not accelerated by this process, which is the principal reason why results obtained by pure heat flow methods still require an energy averaging in the final conclusion; it would of interest to find a way around this difficulty.) The other method, which goes all the way back to Lindeberg in his classical proof of the central limit theorem, and which was introduced to random matrix theory by Chatterjee and then developed for the universality problem by Van Vu and myself, is the *swapping method*, which is based on the observation that spectral statistics of Wigner matrices tend to be stable if one replaces just one or two entries of the matrix with another distribution, with the stability of the swapping process becoming stronger if one assumes that the old and new entries have many matching moments. The main formalisations of this observation are known as *four moment theorems*, because they require four matching moments between the entries, although there are some variant three moment theorems and two moment theorems in the literature as well. Our initial four moment theorems were focused on individual eigenvalues (and later also to eigenvectors), but it was later observed by Erdos, Yau, and Yin that simpler four moment theorems could also be established for aggregate spectral statistics, such as the coefficients of the Greens function, and Knowles and Yin also subsequently observed that these latter theorems could be used to recover a four moment theorem for eigenvalues and eigenvectors, giving an alternate approach to proving such theorems.

Interestingly, it seems that the heat flow and swapping methods are complementary to each other; the heat flow methods are good at removing moment hypotheses on the coefficients, while the swapping methods are good at removing regularity hypotheses. To handle general ensembles with minimal moment or regularity hypotheses, it is thus necessary to combine the two methods (though perhaps in the future a third method, or a unification of the two existing methods, might emerge).

Besides the heat flow and swapping methods, there are also a number of other basic tools that are also needed in these results, such as local semicircle laws and eigenvalue rigidity, which are also discussed in the survey. We also survey how universality has been established for wide variety of spectral statistics; the -point correlation functions are the most well known of these statistics, but they do not tell the whole story (particularly if one can only control these functions after an averaging in the energy), and there are a number of other statistics, such as eigenvalue counting functions, determinants, or spectral gaps, for which the above methods can be applied.

In order to prevent the survey from becoming too enormous, we decided to restrict attention to Hermitian matrix ensembles, whose entries off the diagonal are identically distributed, as this is the case in which the strongest results are available. There are several results that are applicable to more general ensembles than these which are briefly mentioned in the survey, but they are not covered in detail.

We plan to submit this survey eventually to the proceedings of a workshop on random matrix theory, and will continue to update the references on the arXiv version until the time comes to actually submit the paper.

Finally, in the survey we issue some errata for previous papers of Van and myself in this area, mostly centering around the three moment theorem (a variant of the more widely used four moment theorem), for which the original proof of Van and myself was incomplete. (Fortunately, as the three moment theorem had many fewer applications than the four moment theorem, and most of the applications that it did have ended up being superseded by subsequent papers, the actual impact of this issue was limited, but still an erratum is in order.)

Van Vu and I have just uploaded to the arXiv our short survey article, “Random matrices: The Four Moment Theorem for Wigner ensembles“, submitted to the MSRI book series, as part of the proceedings on the MSRI semester program on random matrix theory from last year. This is a highly condensed version (at 17 pages) of a much longer survey (currently at about 48 pages, though not completely finished) that we are currently working on, devoted to the recent advances in understanding the universality phenomenon for spectral statistics of Wigner matrices. In this abridged version of the survey, we focus on a key tool in the subject, namely the *Four Moment Theorem* which roughly speaking asserts that the statistics of a Wigner matrix depend only on the first four moments of the entries. We give a sketch of proof of this theorem, and two sample applications: a central limit theorem for individual eigenvalues of a Wigner matrix (extending a result of Gustavsson in the case of GUE), and the verification of a conjecture of Wigner, Dyson, and Mehta on the universality of the asymptotic k-point correlation functions even for discrete ensembles (provided that we interpret convergence in the vague topology sense).

For reasons of space, this paper is very far from an exhaustive survey even of the narrow topic of universality for Wigner matrices, but should hopefully be an accessible entry point into the subject nevertheless.

Van Vu and I have just uploaded to the arXiv our paper “Random matrices: Universality of eigenvectors“, submitted to Random Matrices: Theory and Applications. This paper concerns an extension of our four moment theorem for eigenvalues. Roughly speaking, that four moment theorem asserts (under mild decay conditions on the coefficients of the random matrix) that the fine-scale structure of individual eigenvalues of a Wigner random matrix depend only on the first four moments of each of the entries.

In this paper, we extend this result from eigenvalues to eigen*vectors*, and specifically to the coefficients of, say, the eigenvector of a Wigner random matrix . Roughly speaking, the main result is that the distribution of these coefficients also only depends on the first four moments of each of the entries. In particular, as the distribution of coefficients eigenvectors of invariant ensembles such as GOE or GUE are known to be asymptotically gaussian real (in the GOE case) or gaussian complex (in the GUE case), the same asymptotic automatically holds for Wigner matrices whose coefficients match GOE or GUE to fourth order.

(A technical point here: strictly speaking, the eigenvectors are only determined up to a phase, even when the eigenvalues are simple. So, to phrase the question properly, one has to perform some sort of normalisation, for instance by working with the coefficients of the spectral projection operators instead of the eigenvectors, or rotating each eigenvector by a random phase, or by fixing the first component of each eigenvector to be positive real. This is a fairly minor technical issue here, though, and will not be discussed further.)

This theorem strengthens a four moment theorem for eigenvectors recently established by Knowles and Yin (by a somewhat different method), in that the hypotheses are weaker (no level repulsion assumption is required, and the matrix entries only need to obey a finite moment condition rather than an exponential decay condition), and a slightly stronger conclusion (less regularity is needed on the test function, and one can handle the joint distribution of polynomially many coefficients, rather than boundedly many coefficients). On the other hand, the Knowles-Yin paper can also handle generalised Wigner ensembles in which the variances of the entries are allowed to fluctuate somewhat.

The method used here is a variation of that in our original paper (incorporating the subsequent improvements to extend the four moment theorem from the bulk to the edge, and to replace exponential decay by a finite moment condition). That method was ultimately based on the observation that if one swapped a single entry (and its adjoint) in a Wigner random matrix, then an individual eigenvalue would not fluctuate much as a consequence (as long as one had already truncated away the event of an unexpectedly small eigenvalue gap). The same analysis shows that the projection matrices obeys the same stability property.

As an application of the eigenvalue four moment theorem, we establish a four moment theorem for the coefficients of resolvent matrices , even when is on the real axis (though in that case we need to make a level repulsion hypothesis, which has been already verified in many important special cases and is likely to be true in general). This improves on an earlier four moment theorem for resolvents of Erdos, Yau, and Yin, which required to stay some distance away from the real axis (specifically, that for some small ).

Van Vu and I have just uploaded to the arXiv our paper “Random matrices: Localization of the eigenvalues and the necessity of four moments“, submitted to Probability Theory and Related Fields. This paper concerns the distribution of the eigenvalues

of a *Wigner random matrix* . More specifically, we consider Hermitian random matrices whose entries have mean zero and variance one, with the upper-triangular portion of the matrix independent, with the diagonal elements iid, and the real and imaginary parts of the strictly upper-triangular portion of the matrix iid. For technical reasons we also assume that the distribution of the coefficients decays exponentially or better. Examples of Wigner matrices include the Gaussian Unitary Ensemble (GUE) and random symmetric complex Bernoulli matrices (which equal on the diagonal, and off the diagonal). The Gaussian Orthogonal Ensemble (GOE) is also an example once one makes the minor change of setting the diagonal entries to have variance two instead of one.

The most fundamental theorem about the distribution of these eigenvalues is the *Wigner semi-circular law*, which asserts that (almost surely) one has

(in the vague topology) where is the semicircular distribution. (See these lecture notes on this blog for more discusssion of this law.)

One can phrase this law in a number of equivalent ways. For instance, in the bulk region , one almost surely has

uniformly for in , where the *classical location* of the (normalised) eigenvalue is defined by the formula

The bound (1) also holds in the edge case (by using the operator norm bound , due to Bai and Yin), but for sake of exposition we shall restriction attention here only to the bulk case.

From (1) we see that the semicircular law controls the eigenvalues at the coarse scale of . There has been a significant amount of work in the literature in obtaining control at finer scales, and in particular at the scale of the average eigenvalue spacing, which is of the order of . For instance, we now have a universal limit theorem for the normalised eigenvalue spacing in the bulk for all Wigner matrices, a result of Erdos, Ramirez, Schlein, Vu, Yau, and myself. One tool for this is the *four moment theorem* of Van and myself, which roughly speaking shows that the behaviour of the eigenvalues at the scale (and even at the slightly finer scale of for some absolute constant ) depends only on the first four moments of the matrix entries. There is also a slight variant, the *three moment theorem*, which asserts that the behaviour of the eigenvalues at the slightly coarser scale of depends only on the first three moments of the matrix entries.

It is natural to ask whether these moment conditions are necessary. From the result of Erdos, Ramirez, Schlein, Vu, Yau, and myself, it is known that to control the eigenvalue *spacing* at the critical scale , no knowledge of any moments beyond the second (i.e. beyond the mean and variance) are needed. So it is natural to conjecture that the same is true for the eigenvalues themselves.

The main result of this paper is to show that this is not the case; that at the critical scale , the distribution of eigenvalues *is* sensitive to the fourth moment, and so the hypothesis of the four moment theorem cannot be relaxed.

Heuristically, the reason for this is easy to explain. One begins with an inspection of the expected fourth moment

A standard moment method computation shows that the right hand side is equal to

where is the fourth moment of the real part of the off-diagonal coefficients of . In particular, a change in the fourth moment by leads to a change in the expression by . Thus, for a typical , one expects to shift by ; since on the average, we thus expect itself to shift by about by the mean-value theorem.

To make this rigorous, one needs a sufficiently strong concentration of measure result for that keeps it close to its mean value. There are already a number of such results in the literature. For instance, Guionnet and Zeitouni showed that was sharply concentrated around an interval of size around for any (in the sense that the probability that one was outside this interval was exponentially small). In one of my papers with Van, we showed that was also weakly concentrated around an interval of size around , in the sense that the probability that one was outside this interval was for some absolute constant . Finally, if one made an additional log-Sobolev hypothesis on the entries, it was shown by by Erdos, Yau, and Yin that the average variance of as varied from to was of the size of for some absolute .

As it turns out, the first two concentration results are not sufficient to justify the previous heuristic argument. The Erdos-Yau-Yin argument suffices, but requires a log-Sobolev hypothesis. In our paper, we argue differently, using the three moment theorem (together with the theory of the eigenvalues of GUE, which is extremely well developed) to show that the variance of each individual is (without averaging in ). No log-Sobolev hypothesis is required, but instead we need to assume that the third moment of the coefficients vanishes (because we want to use the three moment theorem to compare the Wigner matrix to GUE, and the coefficients of the latter have a vanishing third moment). From this we are able to make the previous arguments rigorous, and show that the mean is indeed sensitive to the fourth moment of the entries at the critical scale .

One curious feature of the analysis is how differently the *median* and the *mean* of the eigenvalue react to the available technology. To control the global behaviour of the eigenvalues (after averaging in ), it is much more convenient to use the mean, and we have very precise control on global averages of these means thanks to the moment method. But to control local behaviour, it is the median which is much better controlled. For instance, we can localise the median of to an interval of size , but can only localise the mean to a much larger interval of size . Ultimately, this is because with our current technology there is a possible exceptional event of probability as large as for which all eigenvalues could deviate as far as from their expected location, instead of their typical deviation of . The reason for this is technical, coming from the fact that the four moment theorem method breaks down when two eigenvalues are very close together (less than times the average eigenvalue spacing), and so one has to cut out this event, which occurs with a probability of the shape . It may be possible to improve the four moment theorem proof to be less sensitive to eigenvalue near-collisions, in which case the above bounds are likely to improve.

Van Vu and I have just uploaded to the arXiv our paper “Random covariance matrices: Universality of local statistics of eigenvalues“, to be submitted shortly. This paper draws heavily on the technology of our previous paper, in which we established a Four Moment Theorem for the local spacing statistics of eigenvalues of Wigner matrices. This theorem says, roughly speaking, that these statistics are completely determined by the first four moments of the coefficients of such matrices, at least in the bulk of the spectrum. (In a subsequent paper we extended the Four Moment Theorem to the edge of the spectrum.)

In this paper, we establish the analogous result for the *singular values* of rectangular iid matrices , or (equivalently) the eigenvalues of the associated covariance matrix . As is well-known, there is a parallel theory between the spectral theory of random Wigner matrices and those of covariance matrices; for instance, just as the former has asymptotic spectral distribution governed by the semi-circular law, the latter has asymptotic spectral distribution governed by the *Marcenko-Pastur law*. One reason for the connection can be seen by noting that the singular values of a rectangular matrix are essentially the same thing as the eigenvalues of the *augmented matrix*

after eliminating sign ambiguities and degeneracies. So one can view singular values of a rectangular iid matrix as the eigenvalues of a matrix which resembles a Wigner matrix, except that two diagonal blocks of that matrix have been zeroed out.

The zeroing out of these elements prevents one from applying the entire Wigner universality theory directly to the covariance matrix setting (in particular, the crucial Talagrand concentration inequality for the magnitude of a projection of a random vector to a subspace does not work perfectly once there are many zero coefficients). Nevertheless, a large part of the theory (particularly the deterministic components of the theory, such as eigenvalue variation formulae) carry through without much difficulty. The one place where one has to spend a bit of time to check details is to ensure that the Erdos-Schlein-Yau delocalisation result (that asserts, roughly speaking, that the eigenvectors of a Wigner matrix are about as small in norm as one could hope to get) is also true for in the covariance matrix setting, but this is a straightforward (though somewhat tedious) adaptation of the method (which is based on the Stieltjes transform).

As an application, we extend the sine kernel distribution of local covariance matrix statistics, first established in the case of *Wishart ensembles* (when the underlying variables are gaussian) by Nagao and Wadati, and later extended to gaussian-divisible matrices by Ben Arous and Peche, to any distributions which matches one of these distributions to up to four moments, which covers virtually all complex distributions with independent iid real and imaginary parts, with basically the lone exception of the complex Bernoulli ensemble.

Recently, Erdos, Schlein, Yau, and Yin generalised their local relaxation flow method to also obtain similar universality results for distributions which have a large amount of smoothness, but without any matching moment conditions. By combining their techniques with ours as in our joint paper, one should probably be able to remove both smoothness and moment conditions, in particular now covering the complex Bernoulli ensemble.

In this paper we also record a new observation that the exponential decay hypothesis in our earlier paper can be relaxed to a finite moment condition, for a sufficiently high (but fixed) moment. This is done by rearranging the order of steps of the original argument carefully.

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