A limit theorem at the edge of a non-Hermitian random matrix ensemble

Abstract

The study of the edge behaviour in the classical ensembles of Gaussian Hermitian matrices has led to the celebrated distributions of Tracy–Widom. Here we take up a similar line of inquiry in the non-Hermitian setting. We focus on the family of N × N random matrices with all entries independent and distributed as complex Gaussian of mean zero and variance 1/N. This is a fundamental non-Hermitian ensemble for which the eigenvalue density is known. Using this density, our main result is a limit law for the (scaled) spectral radius as N ↑ ∞. As a corollary, we get the analogous statement for the case where the complex Gaussians are replaced by quaternion Gaussians.