Convergence Rate for Spectral Distribution of Addition of Random Matrices
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🧮 math.PR
math-phmath.MP
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spectralconvergencedistributionmatricesrateadditionadditivebulk
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Let $A$ and $B$ be two $N$ by $N$ deterministic Hermitian matrices and let $U$ be an $N$ by $N$ Haar distributed unitary matrix. It is well known that the spectral distribution of the sum $H=A+UBU^*$ converges weakly to the free additive convolution of the spectral distributions of $A$ and $B$, as $N$ tends to infinity. We establish the optimal convergence rate ${\frac{1}{N}}$ in the bulk of the spectrum.
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