A matrix model of a non-Hermitian $\beta$-ensemble

Abstract

We introduce the first random matrix model of a complex $\beta$-ensemble. The matrices are tridiagonal and can be thought of as the non-Hermitian analogue of the Hermite $\beta$-ensembles discovered by Dumitriu and Edelman (J. Math. Phys., Vol. 43, 5830 (2002)). The main feature of the model is that the exponent $\beta$ of the Vandermonde determinant in the joint probability density function (j.p.d.f.) of the eigenvalues can take any value in $\mathbb{R}_+$. However, when $\beta=2$, the j.p.d.f. does not reduce to that of the Ginibre ensemble, but it contains an extra factor expressed as a multidimensional integral over the space of the eigenvectors.