Quaternionic R transform and non-hermitian random matrices

Zdzislaw Burda, Artur Swiech

Published 2015-05-12Version 1

Using the Cayley-Dickson construction we generalize the free probability calculus to non-hermitian random matrices. The main object in this generalization is a quaternionic extension of the R transform which is a generating function for planar (non-crossing) cumulants of the given random matrix $X$ in the limit of infinite matrix size $N\rightarrow \infty$. The cumulants are defined as connected averages of all distinct powers of $X$ and its hermitian conjugate $X^\dagger$ of the type: $\langle\langle \frac{1}{N} \mbox{Tr} X^{a} X^{\dagger b} X^c \ldots \rangle\rangle$ for $N\rightarrow \infty$. We show that the R transform for gaussian elliptic laws is given by a simple linear quaternionic map $\mathcal{R}(z+wj) = x + \sigma^2 \left(\mu e^{2i\phi} z + w j\right)$ where $(z,w)$ is the Cayley-Dickson pair of complex numbers forming a quaternion $q=(z,w)\equiv z+ wj$. This map has five real parameters $\Re e x$, $\Im m x$, $\phi$, $\sigma$ and $\mu$. We use the R transform to formulate the addition and multiplication laws for non-hermitian random matrices. For illustration we apply these laws to calculate the limiting eigenvalue densities of several products of gaussian random matrices.