Project Report on Random Toeplitz and

Hankel Matrices
Alok Bakshi
May 11, 2011
Abstract
Using method of moments, Bryc, Dembo, and Jiang (2006) showed
that for both Toeplitz and Hankel matrices (denoted by T and H re-
spectively), the corresponding empirical spectral distribution (n

1
2
T
n
)
and (n

1
2
H
n
) weakly converges to non-random symmetric probabil-
ity measures
T
and
H
with unbounded support, and moreover
T
and
H
dont depend upon the distribution of input sequences. They
conjectured that both measures are absolutely continuous and in par-
ticular
T
has a smooth density. Thereafter Sen, and Virag (2011)
gave a partial solution to the conjecture about Toeplitz matrix, prov-
ing that
T
is absolutely continuous with bounded density. In their
proof, rather than using method of moments, they realized the spec-
trum of Gaussian Toeplitz matrix as diagonal matrix (consisting of
independent Gaussian random variables) conjugated by the determin-
istic projection matrix. The next key step then was to use the spectral
averaging technique, which was developed by Combes, Hislop, and
Mourre (1996) in dierent context.
In this project, we undertook the task of adapting the technique
to Hankel matrix. Building upon the work of Bose and Hazra, where
using reverse circulant matrices they realized the spectrum of Gaussian
Hankel matrix as random Diagonal matrix (consisting of independent
Gaussian and Rayleigh distributed random variables) conjugated by
(nondeterministic) projection matrix we seek out to nd a suitable
variant of spectral averaging technique to apply in this particular case.
1
1 Empirical and limiting spectral distribu-
tions
Given an n n matrix A
n
, its empirical spectral measure
n
is dened as

n
=
1
n
n

i=1

i
where (
i
)
n
i=1
are the eigenvalues of A
n
and is the dirac delta function.
For symmetric real matrices, with which we will be concerned here, all the
eigenvalues are real and so
n
is a measure on real line R. The corresponding
empirical distribution function (ESD) is given by
F
A
n
(x) =
1
n
n

i=1
I

i
x
For a sequence of matrices (A
n
)

n=1
, the limiting spectral distribution
(LSD) is dened as the weak limit of F
A
n
with the implicit assumption that
such a limit exists. In real symmetric case, all ESD and therefore LSD too
is a distribution on R.
2 Spectrum for random symmetric Toeplitz
Matrix
A random symmetric Toeplitz matrix is dened as
T
n
= ((x
|ij|
))
0i,jn1
where the input sequence (x
i
)

i=0
consists of independent identically dis-
tributed random variables with Var(x
0
) = 1.
Since
T
doesn not depend upon the distribution of individual entries,
so without loss of generality we can assume x
i
to be independent standard
Gaussian distributed random variables. For the sake of convenience in com-
putation, we will work with T
o
n
, which has

2x
0
on its diagonal entries and
2
rest of the entries are same as that of T. Using Mallows metric we see
W
2
2
(F
n
1/2
T
n
, F
n
1/2
T
o
n
)
1
n
n

i=1
(
i
(n

1
2
T
n
)
i
(n

1
2
T
o
n
)))
2

1
n
Tr(n

1
2
T
n
n

1
2
T
o
n
)
2

1
n
2
n1

i=0
(

2 1)
2
x
2
0
0 as n
so that T
o
n
and T
n
will have same limiting spectral distribution.
A nn random symmetric Toeplitz matrix T
o
n
is nn principal submatrix
of 2n 2n symmetric circulant matrix, which is dened as
C
2n
= ((y
n|n|ij||
))
0i,j2n1
, where y
j
=
_
_
_
x
j
0 < j < n
x
2nj
n < j < 2n j

2x
j
j 0, n
Thus, we do have
Q
2n
C
2n
Q
2n
=
_
T
o
n
0
n
0
n
0
n
_
, where Q
2n
=
_
I
n
0
n
0
n
0
n
_
(1)
The circulant matrix C
2n
can be diagonalized as (2n)

1
2
C
2n
= U
2n
D
2n
U

2n
,
the unitary matrix U
2n
being given by
U
2n
(j, k) =
1

2n
exp
_
2ijk
2n
_
, where 0 j, k 2n 1
and the diagonal matrix D
2n
= diag(d
0
, d
1
, . . . , d
2n1
), where
d
j
=
1

2n
2n1

k=0
y
k
exp
_
2ijk
2n
_
=
1

2n
_

2x
0
+ (1)
j

2x
n
+ 2
n1

k=1
x
k
cos
_
2jk
2n
_
_
Since y
j
= y
2nj
, and all the d
j
are real so for n < j < 2n we observe
that d
j
= d
2nj
. Furthermore it can be seen that (d
j
)
0jn
are independent
mean zero Gaussian random variables, where Var(d
j
) =
_
1 0 < j < n
2 j 0, n
Dening P
2n
= U

2n
Q
2n
U
2n
, we see that P
2
2n
= P
2n
= P

2n
or P
2n
is a
Hermitian projection matrix. Moreover P
2n
is a deterministic project matrix
(since its entries dont depend upon (x
i
)) with P
2n
(j, j) =
1
2
j. Thus
(2n)

1
2
U

2n
Q
2n
C
2n
Q
2n
U
2n
= P
2n
D
2n
P
2n
(2)
3
so that spectrum of Q
2n
C
2n
Q
2n
is realized as the diagonal matrix D
2n
,
conjugated by the projection matrix P
2n
. But from equation (1), we see
that (counting multiplicities) eigenvalues of Q
2n
C
2n
Q
2n
precisely consist of
all eigenvalues of T
o
n
and zero (n times). Thus the above procedure gives us
a handle on the spectrum of the Toeplitz matrix.
3 Spectrum for random Hankel Matrix
A random Hankel matrix is dened as
H
n
= ((x
i+j
))
0i,jn1
where the input sequence (x
i
)

i=0
consists of independent identically dis-
tributed random variables with Var(x
0
) = 1.
Since
H
doesn not depend upon the distribution of individual entries, so
again without loss of generality we can assume x
i
to be independent standard
Gaussian distributed random variables. Furthermore Hankel matrix can be
realized as the principal minor of reverse circulant matrix. Reverse circulant
matrix is related to circulant matrix via the following relation
R
2n
= T
2n
C
2n
, where T
2n
=
_
_
_
_
_
_
_
_
_
1 0 0 . . . 0 0
0 0 0 . . . 0 1
0 0 0 . . . 1 0
.
.
.
0 0 1 . . . 0 0
0 1 0 . . . 0 0
_
_
_
_
_
_
_
_
_
In words, in reverse circulant matrix, shifting each row to the left instead
of right, we get the next row. Thus we have
Q
2n
R
2n
Q
2n
=
_
H
n
0
n
0
n
0
n
_
, where Q
2n
=
_
I
n
0
n
0
n
0
n
_
(3)
So as in the case of Toeplitz matrix, we need to analyze the eigenvalues of
R
2n
. But unlike its relative C
2n
, the description is bit complicated. Similar
to the case of symmetric Circulant matrix, for circulant matrix we have the
spectral decomposition namely, (2n)

1
2
C
2n
= U
2n
D
2n
U

2n
, where (denoting
4
primitive 2n root of unity by ) U
2n
is the following matrix
U
2n
=
_

_
1 1 1 . . . 1 1
1
2
. . .
2n2

2n1
1
2

4
. . .
2(2n2)

2(2n1)
.
.
.
1
2n2

(2n2)2
. . .
(2n2)(2n2)

(2n2)(2n1)
1
2n1

(2n1)2
. . .
(2n1)(2n2)

(2n1)(2n1)
_

_
Interestingly, we have the following relation
U
2n
U
2n
= U

2n
U

2n
= T
2n
where R
2n
= T
2n
C
2n
Therefore, we have
(2n)

1
2
R
2n
= (2n)

1
2
T
2n
C
2n
= T
2n
U
2n
D
2n
U

2n
= U
2n
T
2n
D
2n
U

2n
= U
2n
M
2n
U

2n
where M
2n
= T
2n
D
2n
Now to get hold of eigenvalues of reverse circulant matrix (2n)

1
2
R
2n
, it
suces to get the spectral decomposition of M
2n
. Concretely, we have
M
2n
=
_

_
d
0
0 0 . . . 0 0
0 0 0 . . . 0 d
2n1
0 0 0 . . . d
2n2
0
.
.
.
0 0 d
2
. . . 0 0
0 d
1
0 . . . 0 0
_

_
Here d
j
are the eigenvalues of the circulant matrix C
2n
. Denoting the rst
row of R
2n
as (y
k
)
0k2n1
we have
d
j
=
1

2n
2n1

k=0
y
k
exp
_
2ijk
2n
_
=
1

2n
2n1

k=0
y
k
cos
_
2jk
2n
_
+i
1

2n
2n1

k=0
y
k
sin
_
2jk
2n
_
= A
j,n
+iB
j,n
= r
j
exp(i
j
)
5
Where r
j
=
_
A
2
j,n
+B
2
j,n
and
j
= tan
1
(
B
j,n
A
j,n
) When (y
k
)
02n1
are inde-
pendent standard Gaussian random variables then (r
j
)
1jn1
, (
j
)
1jn1
,
d
0
and d
n
are independent random variables, where r
j
follow Rayleigh dis-
tribution and
j
follow uniform distribution over [, ].
Let I
j
=
_
e
j
j 0, n
1

2
[sgn(n j) exp(i
j
)e
j
+e
2nj
] otherwise
We dene L
2n
= [I
0
, I
1
, I
2
, . . . , I
2n1
]. Concretely we have
L
2n
=
_

_
1 0 0 . . . 0 0
0
1

2
exp(i
1
) 0 . . . 0
1

2
exp(i
1
)
0 0
1

2
exp(i
2
) . . .
1

2
exp(i
2
) 0
.
.
.
0 0
1

2
. . .
1

2
0
0
1

2
0 . . . 0
1

2
_

_
Moreover let D

2n
= [d
0
, r
1
, r
2
, . . . , r
n1
, d
n
, r
n1
, . . . , r
1
]. By result of Bose
and Mitra(2002), D

2n
consist of all the eigenvalues of reverse circulant matrix
R
2n
and in fact M
2n
= L
2n
D
2n
L

2n
So we have
(2n)

1
2
R
2n
= U
2n
T
2n
D
2n
U

2n
= U
2n
M
2n
U

2n
= U
2n
L
2n
D

2n
L

2n
U

2n
= V
2n
D

2n
V

2n
where V
2n
= U
2n
L
2n
Being a product of two unitary matrices, V
2n
is also a unitary matrix.
Dening hermitian projection matrix P
H
2n
= V

2n
Q
2n
V
2n
, we get the relation
(2n)

1
2
Q
2n
R
2n
Q
2n
= Q
2n
V
2n
D

2n
V

2n
Q
2n
= V
2n
P
H
2n
D

2n
P
H
2n
V

2n
From equation (3), we see that (counting multiplicities) eigenvalues of
(2n)

1
2
R
2n
precisely consists of eigenvalues of (2n)

1
2
H
2n
and zero (n times).
Thus spectrum of (2n)

1
2
H
2n
is realized as the diagonal matrix D

2n
conju-
gated by the non-deterministic projection matrix P
H
2n
.
6
4 Spectral Properties
Given a nite measure on R, its Cauchy-Stieltjes transformation is
o(z, ) =
_
R
1
x z
(dx), where z C, (z) > 0
In the special case, when is the empirical measure of a nn symmetric
matrix A, we have
o(z, (A)) =
1
n
n

i=1
1

i
z
=
1
n
Tr(A zI)
1
=
1
n
n1

j=0
e
j
, (A zI)
1
e
j

We can recover measure back from its Stieltjes transformation by the

following inversion formula
(x, y) = lim
0
1

_
y
x
(o(E +i; ))dE
where x < y are the continuity points of .
Moreover putting a bound on (o(z; )) in the upper half complex plane
will entail that is absolutely continuous with respect to the Lebesgue mea-
sure. This follows from the inversion formula, as
sup
z:(z)>0
(o(z; ) K = (x, y)
K

(x, y) =
d
d

K

Sen and Virag(2011) used the same approach for proving the absolute
continuity of
T
. To put a bound on Stieltjes transform, rst we need to
rewrite it in suitable format.
Let (e
j
)
0j2n1
be the coordinate vectors of R
2n
, then for z C and
(z) > 0, we next prove the following two results
o(z; E(n

1
2
T
0
n
)) =

2
n
2n1

j=0
EPe
j
, (PDP zI)
1
Pe
j

o(z; E(n

1
2
H
n
)) =

2
n
2n1

j=0
EP
H
e
j
, (P
H
D

P
H
zI)
1
P
H
e
j

7
and these thus give us relation between the Stieltjes transformation of Toeplitz/Hankel
matrix and the corresponding representation of it as diagonal matrix conju-
gated by the projection matrix. We prove the rst of these results, the second
one is proved by following the same procedure. So, we have
o(z, (n

1
2
T
o
n
)) =
1
n
n1

j=0
e
j
, (n

1
2
QCQzI)
1
e
j

2
n
n1

j=0
e
j
, (QUDU

QzI)
1
e
j

2
n
n1

j=0
U

e
j
, (PDP zI)
1
U

e
j

Moreover we have
2n1

j=0
P e
j
e

j
P = P
_
2n1

j=0
e
j
e

j
_
P = P
2
= P = U

QU
= U

_
n1

j=0
e
j
e

j
_
U =
n1

j=0
U

e
j
e

j
U
8
Thus we do the following manipulation
o(z, (n

1
2
T
o
n
)) =

2
n
n1

j=0
U

e
j
, (PDP zI)
1
U

e
j

=
n1

j=0
e
j
, U(PDP zI)
1
U

e
j
=
n1

j=0
U(PDP zI)
1
U

(j, j)
=
n1

j=0
2n1

j
1
,j
2
=0
U(j, j
1
)(PDP zI)
1
(j
1
, j
2
)U

(j
2
, j)
=
2n1

j
1
,j
2
=0
(PDP zI)
1
(j
1
, j
2
)
_
n1

j=0
U

(j
2
, j)U(j, j
1
)
_
=
2n1

j
1
,j
2
=0
(PDP zI)
1
(j
1
, j
2
)
_
n1

j=0
U

e
j
e

j
U
_
(j
2
, j
1
)
=
2n1

j
1
,j
2
=0
(PDP zI)
1
(j
1
, j
2
)
_
2n1

j=0
Pe
j
e

j
P
_
(j
2
, j
1
)
=
2n1

j
1
,j
2
=0
(PDP zI)
1
(j
1
, j
2
)
_
2n1

j=0
P(j
2
, j)P(j, j
1
)
_
=
2n1

j=0
2n1

j
1
,j
2
=0
P(j, j
1
)(PDP zI)
1
(j
1
, j
2
)P(j
2
, j)
=
2n1

j=0
P(PDP zI)
1
P(j, j) =
2n1

j=0
Pe
j
, (PDP zI)
1
Pe
j

Thus taking expectation of both sides, we get

o(z; E(n

1
2
T
0
n
)) =

2
n
2n1

j=0
EPe
j
, (PDP zI)
1
Pe
j

Next we state and prove the spectral averaging technique by Combes et.
al. (1996) and afterwards a simple application of the above theorem will give
us a bound on the Stieltjes transformation of
T
, thus proving the absolute
continuity of
T
. Later we will see the diculties in using the same approach
for Hankel matrix.
9
5 Spectral averaging technique by Combes
et. al. (1996)
Let H

, R be a C
2
family of self adjoint operators such that D(H

) =
D
0
1 R, and such that (H

zI)
1
is twice strongly dierentiable
in for all z, (z) ,= 0. Assume that there exists a nite positive constant
c
0
, and a positive bounded self adjoint operator B such that,on D
0

=
dH

d
c
0
B
2
Also assume that H

is linear in , i.e.

H

=
d
2
H

d
2
= 0. Then for all E R
and twice continuously dierentiable function g such that g, g/, g// /
1
(R)
and for all 1, we have
sup
>0

_
R
g(), B(H

(E +i)I)
1
Bd

c
1
0
(|g|
1
+|g/|
1
+|g//|
1
) ||
2
(4)
The vanishing second derivative hypothesis can be relaxed by just requir-
ing that [

H

[ c
1

H

, as it was done in Combes (1996) paper. But restrictive

hypothesis is satised in our application, and so we dont need to prove the
result in most general form, whose proof is considerably harder than this
particular case.
This result is trivially true for = 0, and so dividing both sides by ||
2
,
we can assume without loss of generality that || = 1.
Since , B(H

(E+i)I)
1
B = , B(H

(E i)I)
1
B, so prov-
ing the above inequality (where the supremum is taken in the upper half
complex plane) will imply the same inequality where the supremum is taken
in the lower half complex plane and vice versa. In particular we do have
sup
<0

_
R
g(), B(H

(E +i)I)
1
Bd

c
1
0
(|g|
1
+|g/|
1
+|g//|
1
) ||
2

sup
>0

_
R
g(), B(H

(E +i)I)
1
Bd

c
1
0
(|g|
1
+|g/|
1
+|g//|
1
) ||
2
In the proof, we will take supremum over the negative half complex plane.
10
Finally we observe that we dont need to have supremum over the whole
half plane but taking supremum over the strip : 0 < < 1, will suce. This
follows since in the case of when 1, we can let G

=
H

and D =
B

, so
that

G

c
0
D
2
and thefore
sup
0<<1

_
R
g(), D(G

(E +i)I)
1
Gd

c
1
0
(|g|
1
+|g/|
1
+|g//|
1
) ||
2

sup
>0

_
R
g(), B(H

(E +i)I)
1
Bd

c
1
0
(|g|
1
+|g/|
1
+|g//|
1
) ||
2
Now, for > 0 and 0 < < 1, we make the following denitions
R(, , ) = (H

(E i)I +i

H

)
1
and K(, , ) = BR(, , )B
Now, keeping in mind the inequality

H

c
0
B
2
, we have
, K(, , ) = , BR(, , )

(I +

H

)R(, , )B c
0
|K(, , )|
2
But by Cauchy Schwartz inequality and the fact that || = 1, we also have
, K(, , ) |K(, , )|. So we get the following inequality
|K(, , )|
1
c
0

(5)
Now we make another denition
F(, ) =
_
R
g(), K(, , )d (6)
Inequality (5) gives us the following bound
F(, )
1
c
0

|g|
1
(7)
Dierentiating F(, ) with respect to , and using integration by parts and
the fact that

H

= 0, we get
i
dF(, )
d
=
_
R
g()BR(, , )

H

R(, , )Bd
=
_
R
g()
d
d
, K(, , )d
11
Therefore from (7) and using integration by parts, we have

dF(, )
d

_
R
g/(), K(, , )d

1
c
0

|g/|
1
(8)
Integration of the above inequality, yields the following improved bound on
F(, )
[F(, )[ c
1
0
|g/|
1
[ log()[ +[F(1, )[ c
1
0
|g/|
1
[ log()[ +c
1
0
|g|
1
(9)
If we dene the function

F(, ) =
_
R
g/(), K(, , )d then following
the same procedure for

F(, ) instead of F(, ), we get
[

F(, )[ c
1
0
|g/|
1
[ log()[ +[F(1, )[ c
1
0
|g//|
1
[ log()[ +c
1
0
|g/|
1
which implies that

dF(, )
d

c
1
0
|g//|
1
[ log()[ +c
1
0
|g/|
1
Finally integrating the above inequality again, we get
[F(, )[ c
1
0
(|g//|
1
+|g/|
1
) +[F(1, )[ c
1
0
(|g//|
1
+|g/|
1
+|g|
1
)
(10)
We note that R(, , ) (H

(E i)I)
1
as 0
+
, therefore by
dominated convergence theorem we get the following result
sup
0<<1

_
R
g(), B(H

(E i)I)
1
Bd

c
1
0
(|g|
1
+|g/|
1
+|g//|
1
)
(11)
and as discussed earlier, the general result follows from the aforementioned
inequality.
6 Absolute Continuity for
T
Lets take
E
j
=
_
e
j
e

j
+e
2nj
e

2nj
1 j < n
e
j
e

j
j 0, n
B
j
=
_
Pe
j
e

j
P or Pe
2nj
e

2nj
P 1 j < n
Pe
j
e

j
P j 0, n
12
Now we take H

= P(D+(d
j
)E
j
)P, so that H

is a random self adjoint op-

erator, whose randomness comes from d
0
, d
1
, . . . , d
j1
, d
j+1
, . . . , d
n
. More-
over by denition, we have

H

= 0. We can verify that

H

= PE
j
P B
j
=
P(j, j)
1
B
2
j
= 2B
2
j
, so that in theorem we can use c
0
= 2 and P(j, j) =
1
2
.
Now for the choice of g, let Z denote the standard Gaussian random variable.
Then we take
g =
_
density of Z 0 < j < n
density of

2Z j 0, n
From the denition, we have |g|
1
= 1, |g/|
1

_
2

, |g//|
1
2.
Thus plugging in = e
j
or e
2nj
and taking expectation with respect to
d
0
, d
1
, . . . , d
j1
, d
j+1
, . . . , d
n
(noticing that integral is equivalent to taking
expectation with respect to d
j
, and by virtue of independence of (d
k
) we can
break up expectation in this form) we nally get
sup
z:(z)>0
P(j, j)
2

EPe
j
, (PDP zI)
1
Pe
j

c
1
0
(|g//|
1
+|g/|
1
+|g|
1
)
Therefore, we get the following bound on o(z; E(n

1
2
T
0
n
))

o(z; E(n

1
2
T
0
n
))

2
n
2n1

j=0

EPe
j
, (PDP zI)
1
Pe
j

2
n
2n 8
16

2
So as a consequence of bound, we know that
T
is absolutely continuous
with respect to Lebesgue measure.
7 Absolute Continuity for
H
The same approach can be used for Hankel matrix. Though projection matrix
in this case P
H
is non-deterministic, still it does not poses major problems
as we still have P(j, j) =
1
2
. However because of the structure of diagonal
matrix D

, we are forced to choose E

j
as e
j
e

j
e
2nj
e

2nj
for 1 j < n, and
13
that means

H

is no longer bounded below since

H

= PE
j
P is not even a
postive semidenite matrix.
Our task in the project was to study the proof of spectral averaging
technique and to check whether it could be suitably modied so that we no
longer need the condition on lower bound of

H

. As of now, we have not

made any progress. But it looks feasible as we never really need the full force
of Combess result. Firstly we only need the result for nite dimensional
operator, and moreover g in our case is not only smooth but is a rapidly
decreasing function (or belongs to the Schwartz class).
References
[1] Arup Bose Lecture notes on Random Matrices.
[2] Arup Bose and Rajat Hazra Some remarks about Hankel Matrices.
[3] Bryc, W. Dembo, and A. Jiang, Spectral measure of large random Hankel,
Markov and Toeplitz matrices 2006: Ann. Probab. 34, 138.
[4] Arnab Sen, and Balint Vir ag, Absolute continuity of the limiting eigen-
value distribution of the random Toeplitz matrix 2011: Electronic Com-
munications in Probability 61, 706711.
[5] A. Bose, and J. Mitra, Limiting spectral distribution of a special circulant
2002: Statistics and Probability Letters, 60 (1). pp. 111120
[6] J. M. Combes, P. D. Hislop, and E. Mourre, Spectral averaging, perturba-
tion of singular spectra, and localization 1996: Trans. Amer. Math. Soc.
348, 48834894.
[7] G. W. Anderson, A. Guionnet, and O. Zeitouni, An introduction to ran-
dom matrices, Cambridge University Press, 2010.
[8] Patrick Billingsley, Probability and Measure, Wiley Series in Probability
and Mathematical Statistics, 1995.
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