Singular Values Distribution of Squares of Elliptic Random Matrices and Type B Narayana Polynomials

Abstract

We consider Gaussian elliptic random matrices $X$ of a size $N \times N$ with parameter $\rho$, i.e., matrices whose pairs of entries $(X_{ij}, X_{ji})$ are mutually independent Gaussian vectors, $E X_{ij} = 0$, $E X^2_{ij} = 1$ and $E X_{ij} X_{ji} = \rho$. We are interested in the asymptotic distribution of eigenvalues of the matrix $W =\frac{1}{N^2} X^2 X^{*2}$. We have shown that this distribution is defined by its moments and we provide a recurrent relation for these moments. We have proven that the (symmetrized) asymptotic distribution is determined by its free cumulants, which are Narayana polynomials of type B: $$c_{2n} = \sum_{k=0}^n \binom{n}{k}^2 \rho^{2k}.$$