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arXiv · 2403.19157

Correlation functions between singular values and eigenvalues

Matthias Allard·Mario Kieburg
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Abstract

Exploiting the explicit bijection between the density of singular values and the density of eigenvalues for bi-unitarily invariant complex random matrix ensembles of finite matrix size, we aim at finding the induced probability measure on $j$ eigenvalues and $k$ singular values that we coin $j,k$-point correlation measure. We find an expression for the $1,k$-point correlation measure which simplifies drastically when assuming that the singular values follow a polynomial ensemble, yielding a closed formula in terms of the kernel corresponding to the determinantal point process of the singular value statistics. These expressions simplify even further when the singular values are drawn from a Pólya ensemble and extend known results between the eigenvalue and singular value statistics of the corresponding bi-unitarily invariant ensemble.

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Matthias Allard, Mario Kieburg. 2025-06-26. Correlation functions between singular values and eigenvalues. https://doi.org/10.1142/s2010326325500248

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