Multiple collisions of eigenvalues and singular values of matrix Gaussian field

Abstract

Let $X^\beta$ be a real symmetric or complex Hermitian matrix whose entries are independent Gaussian random fields. We provide the sufficient and necessary conditions such that multiple collisions of eigenvalue processes of $A^\beta + T_\beta X^\beta T_\beta^*$ occur with positive probability. In addition, for a real or complex rectangular matrix $W^\beta$ with independent Gaussian random field entries, we obtain the sufficient and necessary conditions under which the probability of multiple collisions of non-trivial singular value processes of $B^\beta + T_\beta W^\beta \tilde T_\beta$ is positive. In both cases, the size of the set of collision times is characterized via Hausdorff dimension.