Mesoscopic Perturbations of Large Random Matrices (1412.4193v2)

Abstract: We consider the eigenvalues and eigenvectors of small rank perturbations of random $N\times N$ matrices. We allow the rank of perturbation $M$ increases with $N$, and the only assumption is $M=o(N)$. In both additive and multiplicative perturbation models, we prove rigidity results for the outliers of the perturbed random matrices. Based on the rigidity results we derive the empirical distribution of outliers of the perturbed random matrices. We also compute the appropriate projection of eigenvectors corresponding to the outliers of the perturbed random matrices, which are approximate eigenvectors of the perturbing matrix. Our results can be regarded as the extension of the finite rank perturbation case to the full generality up to $M=o(N)$.