Extremal eigenvalues and eigenvectors of deformed Wigner matrices

Abstract

We consider random matrices of the form H=W+λV,λ∈R+, where W is a real symmetric or complex Hermitian Wigner matrix of size N and V is a real bounded diagonal random matrix of size N with i.i.d. entries that are independent of W. We assume subexponential decay of the distribution of the matrix entries of W and we choose λ∼1, so that the eigenvalues of W and λV are typically of the same order. Further, we assume that the density of the entries of V is supported on a single interval and is convex near the edges of its support. In this paper we prove that there is λ+∈R+ such that the largest eigenvalues of H are in the limit of large N determined by the order statistics of V for λ>λ+. In particular, the largest eigenvalue of H has a Weibull distribution in the limit N→∞ if λ>λ+. Moreover, for N sufficiently large, we show that the eigenvectors associated to the largest eigenvalues are partially localized for λ>λ+, while they are completely delocalized for λ