We survey some recent progress on rigorously establishing the universality of
various spectral statistics of Wigner random matrix ensembles, focusing in
particular on the Four Moment Theorem and its applications.
The four moment theorem asserts, roughly speaking, that the joint
distribution of a small number of eigenvalues of a Wigner random matrix (when
measured at the scale of the mean eigenvalue spacing) depends only on the first
four moments of the entries of the matrix. In this paper, we extend the four
moment theorem to also cover the coefficients of the \emph{eigenvectors} of a
Wigner random matrix. A similar result (with different hypotheses) has been
proved recently by Knowles and Yin, using a different method.
Computing the first few singular vectors of a large matrix is a problem that
frequently comes up in statistics and numerical analysis. Given the presence of
noise, exact calculation is hard to achieve, and the following problem is of
importance:
We give a new bound on the probability that the random sum $\xi_1 v_1 +...+
\xi_n v_n$ belongs to a ball of fixed radius, where the $\xi_i$ are iid
Bernoulli random variables and the $v_i$ are vectors in $\R^d$. As an
application, we prove a conjecture of Frankl and F\"uredi (raised in 1988),
which can be seen as the high dimensional version of the classical
Littlewood-Offord-Erd\H os theorem.
We study the eigenvalues values of the covariance matrix $\frac{1}{n} M^\ast
M$ of a large rectangular matrix $M = M_{n,p} = (\zeta_{ij})_{1 \leq i \leq p;
1 \leq j \leq n}$ whose entries are iid random variables of mean zero, variance
one, and having finite $C_0^{th}$ moment for some sufficiently large $C_0$.
A random $n$-lift of a base graph $G$ is its cover graph $H$ on the vertices
$[n]\times V(G)$, where for each edge $u v$ in $G$ there is an independent
uniform bijection $\pi$, and $H$ has all edges of the form $(i,u),(\pi(i),v)$.
A main motivation for studying lifts is understanding Ramanujan graphs, and
namely whether typical covers of such a graph are also Ramanujan.
This is a continuation of our earlier paper on the universality of the
eigenvalues of Wigner random matrices. The main new results of this paper are
an extension of the results in that paper from the bulk of the spectrum up to
the edge. In particular, we prove a variant of the universality results of
Soshnikov for the largest eigenvalues, assuming moment conditions rather than
symmetry conditions.