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. 2021 Jan 12;182(1):20. doi: 10.1007/s10955-020-02696-9

Moments of Moments and Branching Random Walks

E C Bailey 1,, J P Keating 2
PMCID: PMC7803724  PMID: 33487737

Abstract

We calculate, for a branching random walk Xn(l) to a leaf l at depth n on a binary tree, the positive integer moments of the random variable 12nl=12ne2βXn(l), for βR. We obtain explicit formulae for the first few moments for finite n. In the limit n, our expression coincides with recent conjectures and results concerning the moments of moments of characteristic polynomials of random unitary matrices, supporting the idea that these two problems, which both fall into the class of logarithmically correlated Gaussian random fields, are related to each other.

Keywords: Branching random walks, Moments, Logarithmically correlated processes

Introduction

Moments of Moments: Characteristic Polynomials of Random Matrices

In recent years there has been significant progress towards understanding the value distribution of the maximum of the logarithm of the characteristic polynomial of a random unitary matrix and of related log-correlated processes [16, 11, 1722, 2427, 29]. Let

PN(A,θ):=det(I-Ae-iθ) 1

denote the characteristic polynomial of AU(N). Additionally, denote by

Pmax(A):=maxθ[0,2π)log|PN(A,θ)| 2

the maximum value of PN(A,θ) around the unit circle. It was conjectured in [19, 20] that

Pmax(A)=logN-34loglogN+mN(A) 3

where the law of the fluctuating term mN(A) was postulated to be the same as that of the sum of two independent Gumbel random variables in the limit N. The leading order of (3) was verified by Arguin et al. [2], and Paquette and Zeitouni [26] determined (3) to subleading order. At the time of writing, the strongest result in the literature is due to Chhaibi et al. [11], who proved tightness1 of the family of random variables2

{Pmax(N)-logN+34loglogN}. 4

The maximum conjecture (3) was motivated by a heuristic analysis in [20] of the random variable

ZN(A,θ):=12π02π|PN(A,θ)|2βdθ, 5

the 2βth moment of the absolute value of the characteristic polynomial with respect to the uniform measure on the unit circle. In particular, determining the moments of ZN(A,θ) with respect to Haar measure on the unitary group is central to the analysis, and such an average is referred to as representing the moments of moments of PN(A,θ). Specifically, the moments of moments are defined by

MoMU(N)(k,β):=EAU(N)12π02π|PN(A,θ)|2βdθk, 6

where the external average E[·] is with respect to the Haar measure on U(N)3. In [20] it was conjectured that, as N, MoMU(N)(k,β) is given asymptotically by

MoMU(N)(k,β)G2(1+β)G(1+2β)Γ(1-β2)kΓ(1-kβ2)Nkβ2,ifk<1/β2,c(k,β)Nk2β2-k+1,ifk>1/β2, 7

where G(s) is the Barnes G-function, and c(k,β) is some (unspecified) function of the moment parameters k,β.

For integer k,β, it was proved in [9] that MoMU(N)(k,β) is a polynomial in the matrix size, N, of degree k2β2-k+1, in line with (7).

Using a Riemann-Hilbert analysis, Claeys and Krasovsky [12] computed MoMU(N)(2,β) for Re(β)>-1/4, and connected c(2,β) to a solution of a Painlevé equation. By so doing, they verified (7) for k=2 and all Re(β)>-1/4. Fahs [16] subsequently extended this approach4 to general kN, although he did not determine c(k,β) for k>2. Additionally, Claeys and Krasovsky, and Fahs, also determined that the behaviour at the critical point kβ2=1 (still for kN) is of the form

MoMU(N)(k,1k)α(k,β)NlogN, 8

for some positive coefficient α(k,β) as N (see [12, 16] for further details).

One of the key ideas that underpins much of the progress outlined above is that the Fourier series representing logPN(A,θ) exhibits a hierarchical structure typical of problems associated with logarithmically correlated Gaussian fields. This structure is exemplified by the branching random walk. Understanding this connection is currently a focus of research in the area. Our aim here is to examine it in the context of the moments of moments by calculating the quantity in the theory of the branching random walk that is analogous to (6). Specifically, we will show that the analogue of the moments of moments for the branching random walk is asymptotically described by a formula that is the direct analogue of (7). Additionally, the fact that logPN(A,θ) has a central limit theorem [23] for large N is important to our analysis.

We also remark in passing that the characteristic polynomials of random unitary matrices play an important role in modelling the value distribution of the Riemann zeta-function on its critical line [23]. There are analogues of the conjectures (3) and (7) for the zeta function [19, 20]. In the latter case, the integer moments of moments can be calculated using the shifted moment conjecture of [13, 14]; see [10]. There has again been a good deal of progress in proving the conjecture corresponding to (3) using the analogue for the zeta function of the hierarchical structure exemplified by the branching random walk [16, 21, 22, 24], and so we see our results for the branching random walk as being of interest in the number theoretical context as well.

Moments of Moments: the Branching Random Walk

Take a binary tree of depth n, and a choice of leaf l. Load to each branch in the tree an independent centred Gaussian random variable with variance 12log2. We write for the branching random walk from root to l

Xn(l):=m=1nYm(l), 9

where Ym(l)N(0,12log2) are the branch weightings, see Fig. 1. Note that

Xn(l)N0,n2log2 10

and that the distribution of Xn(l) does not depend on the choice of leaf l (nor does the distribution of Ym(l) depend on the level m nor the leaf l), however including both labels will become useful later. Similarly, it will be important to record the points at which concurrent paths through the tree diverge.

Fig. 1.

Fig. 1

An example of a random walk X4(l)=Y1(l)++Y4(l) on a binary tree of depth n=4, from root to leaf l. The weightings Yj(l) are independent, centred Gaussian random variables with variance 12log2

Definition 1

Take two leaves l1,l2 of a binary tree of depth n. The last common ancestor of l1,l2, denoted by lca(l1,l2) is the furthest node from the root that has both l1 and l2 as descendants. The last common ancestor of k leaves is the furthest node from the root with all k leaves as descendants. Figure 2 shows an example involving three leaves on a tree of depth n=4.

Fig. 2.

Fig. 2

A binary tree of depth 4 with three leaves l1,l2,l3 highlighted. The last common ancestor of l1,l2 is lca(l1,l2). The last common ancestor of all three (and also lca(l2,l3) and lca(l1,l3)) is the root node. The paths are differentiated by dashed and dotted lines

It will be important for our purposes to keep track of the level of the last common ancestor. Hence, we also define the last common level lcl(l1,,lk) to be the level of lca(l1,,lk). For example, in Fig. 2, lcl(l1,l2,l3)=0 and lcl(l1,l2)=2.

As a process, {Xn(l),l{1,2n}} is log-correlated (see for example [1]). It is natural, therefore, to investigate the associated partition function5 or moment generating function

12nl=12ne2βXn(l)=12nl=12ne2βm=1nYm(l) 11

where, as in (9), Ym(l)N(0,12log2) and are independent.

In particular, we are interested in the moments of the partition function (11),

E12nl=12ne2βXn(l)k=12knl1=12nlk=12nEe2β(Xn(l1)++Xn(lk)), 12

where the expectation in (12) is with respect to the Gaussian random variables. These are the moments of moments for the branching random walk. They are the analogues of (6).

Results and Proof Outline

As reviewed in Sect. 1, it is now known that (see [8, 9, 12, 16]) for β0, and kN

MoMU(N)(k,β)G2(1+β)G(1+2β)Γ(1-β2)kΓ(1-kβ2)Nkβ2,ifk<1/β2,α(k,β)NlogN,ifk=1/β2,c(k,β)Nk2β2-k+1,ifk>1/β2, 13

as N for some positive constants6α(k,β) and c(k,β) depending only on k,β. Furthermore, for k,βN, MoMU(N)(k,β) is a polynomial in N, see [9].

Results

By calculating the moments of moments (12), we are able to recover an asymptotic result of the form (13), albeit with different leading order coefficients. Explicitly, we prove the following.

Theorem 1

Take n,kN and βR. If β0 then

E12nl=12ne2βXn(l)kρ(k,β)2kβ2n,ifk<1/β2,σ(k,β)n2n,ifk=1/β2,τ(k,β)2(k2β2-k+1)n,ifk>1/β2, 14

as n, for some positive constants ρ(k,β),σ(k,β), and τ(k,β) depending only on k,β. Clearly, if β=0 then the expectation evaluates to 1.

For small values of k, one can calculate exact and explicit formulae for the moments of moments; we provide such examples for k=1,,5 in Appendix A. Such moments were also considered by Derrida and Spohn [15] for general branching weightings and in continuous settings. In the discrete setting, they compute the first few low moments (which agree with the first few explicit examples computed in Appendix A) and establish a connection to the KPP equation in the continuous setting. Additionally, it is natural to ask if the leading order coefficient ρ(k,β) for kβ2<1 in (14) could take the form f(β)kΓ(1-kβ2) for some function f, in line with Fyodorov-Bouchaud [17] or Remy-Zhu [28] formulae for related problems in the same regime (see also (13)). Such a statement does not appear to hold here.

Furthermore, we are able to establish that for integer values of the moment parameters the branching moments of moments are polynomials.

Corollary 1

When k,βN, (12) is a polynomial in 2n of degree k2β2-k+1.

Thus, the branching moments of moments exhibit asymptotic behaviour identical to that of the random matrix moments of moments, once the identification N=2n is made.

The remainder of this section details the key ideas necessary for the proof of Theorem 1 and Corollary 1. Small cases of the moments of moments are explicitly calculated.

Structure of Proof

Establishing the statement of Theorem 1 in the simplest instance, k=1, follows from a moment generating function calculation. Recall that in the random matrix case, MoMU(N)(1,β) has an exact (finite N) expression:

MoMU(N)(1,β)=j=1NΓ(j+2β)Γ(j)Γ2(j+β) 15

for Re(β)>-12, see [23]. For βN, the right hand side of (15) simplifies to

0i,jβ-1Ni+j+1+1. 16

As N,

MoMU(N)(1,β)c(1,β)Nβ2 17

where c(1,β) is the ratio of Barnes G-functions appearing in the first regime in (13). The asymptotic behaviour (17) for integer β follows from (16); for general β it was determined by Keating and Snaith [23]. As is consistent with (13), for k=1 there is no phase transition as β varies.

The equivalent case of k=1 for the branching moments of moments (see (12)) requires calculating the following moment

12nEl=12ne2βXn(l)=12nl=12nEj=1ne2βYj(l). 18

In terms of the binary tree, this can be interpreted as ‘loading’ the root with one particle. Consequently, each summand is the contribution from that particle passing through the tree and ending at leaf l. Since the Yj(l) are independent between each level of the binary tree, we have

12nl=12nEj=1ne2βYj(l)=12nl=12nj=1nEe2βYj(l)=2β2n 19

since Yj(l)N(0,12log2). By making the identification N=2n, the branching moments of moments exhibit the same asymptotic growth (although with a different leading order coefficient, and no lower order terms) as (17).

When k2, one has the additional difficulty of the paths Xn(lj) no longer being independent typically. In order to introduce the key ideas of the proof for general k, it is instructive also to calculate explicitly the case for k=2. This case is the first where a phase change can be seen as β varies, and the calculation demonstrates how to handle the dependence between paths. For ease of notation, henceforth we write for the branching moments of moments in (12)

MoMn(k,β):=12knl1=12nlk=12nEe2β(Xn(l1)++Xn(lk)). 20

Additionally, since the case for β=0 is trivial, henceforth we assume β0. Thus, take β0 and consider (20) for k=2,

MoMn(2,β)=122nl1=12nl2=12nEe2β(Xn(l1)+Xn(l2)) 21
=122nl1=12nl2=12nEj=1λe2β(Yj(l1)+Yj(l2))Ej=λ+1ne2β(Yj(l1)+Yj(l2)) 22

where λ:=lcl(l1,l2). As up to level λ the paths are identical, and thereafter independent, we may rewrite (22) as

122nλ=0n-12λ24β2λEj=λ+1ne2βYj2+2(4β2+1)n. 23

This follows because 24βλ is the contribution from the joined paths, and 2λ is the number of choices of lca(l1,l2) given lcl(l1,l2)=λ.

At this point observe that the expectation on the right hand side of (23) is the same as calculated for the first moment of moments, except on a tree of depth n-λ-1 (and with an additional step prior to the new root node). Hence we proceed inductively,

MoMn(2,β)=122n(λ=0n-12λ24β2λ212β22n-λ-1MoMn-λ-1(1,β)2+2(4β2+1)n)=22β2-1λ=0n-12(4β2-1)λ22β2(n-λ-1)+2(4β2-1)n 24
=22β2n-12(2β2-1)n-122β2-1-1+2(4β2-1)n. 25

Thus, the general method for proving Theorem 1, and hence Corollary 1, will follow via strong induction. In order to demonstrate the three different asymptotic regimes, we examine (25) for different values of β.

If 2β2>1 then

MoMn(2,β)1+12(22β2-1-1)2(4β2-1)n 26
=22β2-12(22β2-1-1)2(4β2-1)n, 27

as n.

Instead, if 2β2<1, then as n

MoMn(2,β)12(1-22β2-1)22β2n. 28

Finally, if 2β2=1, then using (24) we have

MoMn2,12=lim2β2122β2nλ=0n-1(2(2β2-1)λ-2(2β2-1)λ-1)+2(4β2-1)n 29
=n+222n. 30

Hence, as n, at 2β2=1,

MoMn2,12n22n. 31

In the next section, we prove Theorem 1 and Corollary 1 using the techniques presented in this section. In particular, we make liberal use of the iterative properties of the binary tree underpinning (20).

Proof Details

We proceed by strong induction. Recall that we write for βR and kN

MoMn(k,β)=12knl1=12nlk=12nEe2β(Xn(l1)++Xn(lk)). 32

In Sect. 2.2 we established the base cases of MoMn(1,β),MoMn(2,β). As the case β=0 is trivial, here and henceforth β0. Now assume for all j<k, and k2, that

MoMn(j,β)ρ(j,β)2jβ2n,ifjβ2<1,σ(j,β)n2n,ifjβ2=1,τ(j,β)2(j2β2-j+1)n,ifjβ2>1, 33

where ρ(j,β),σ(j,β),τ(j,β) are the positive leading order coefficients (depending on the moment parameters j and β) of MoMn(j,β) in each of the three regimes7.

Throughout we write Σ for a sum without the diagonal term. We now consider the kth case,

graphic file with name 10955_2020_2696_Equ34_HTML.gif 34
graphic file with name 10955_2020_2696_Equ35_HTML.gif 35
graphic file with name 10955_2020_2696_Equ36_HTML.gif 36
graphic file with name 10955_2020_2696_Equ37_HTML.gif 37

where in the last two lines λ:=lcl(l1,,lk). At the initial separation on level λ, j particles will split in one direction, and k-j in the other for j{1,,k-1}. Thereafter, one is essentially the dealing with two subtrees of depth n-λ-1, with j particles on one and k-j on the other. Note also that there are 2λ choices for lca(l1,,lk) given lcl(l1,,lk)=λ, and that since only off-diagonal terms appear in the sum, λ{0,,n-1}. Let YN(0,12log2), then

MoMn(k,β)=12knλ=0n-12(k2β2+1)λj=1k-1kjEe2βjYEe2β(k-j)Y×(2j(n-λ-1)MoMn-λ-1(j,β))(2(k-j)(n-λ-1)MoMn-λ-1(k-j,β))+2(k2β2-k+1)n 38
=12knλ=0n-12(k2β2+1)λj=1k-1kj2β2j22β2(k-j)22k(n-λ-1)×MoMn-λ-1(j,β)MoMn-λ-1(k-j,β)+2(k2β2-k+1)n 39
=2k2β2-kλ=0n-12(k2β2-k+1)λj=1k-1kj22jβ2(j-k)×MoMn-λ-1(j,β)MoMn-λ-1(k-j,β)+2(k2β2-k+1)n. 40

To complete the proof of Theorem 1, we determine the asymptotic behaviour of (40) by separately considering the ranges kβ2<1, kβ2=1, and kβ2>1. It transpires that we will need to further partition the case kβ2>1, for more details see Sect. 3.3.

Range: 0<|β|<1k

In this range kβ2<1 so we expect MoMn(k,β) to grow as 2kβ2n. Further, since kβ2<1, we also have mβ2<1 for m=1,,k-1. From (40), we have that

MoMn(k,β)=2k2β2-kλ=0n-12(k2β2-k+1)λj=1k-1kj22jβ2(j-k)×MoMn-λ-1(j,β)MoMn-λ-1(k-j,β)+2(k2β2-k+1)n 41
2k2β2-kλ=0n-12(k2β2-k+1)λj=1k-1kj22jβ2(j-k)×ρ(j,β)ρ(k-j,β)2jβ2(n-λ-1)2(k-j)β2(n-λ-1)+2(k2β2-k+1)n 42
=2k2β2-k2kβ2(n-1)j=1k-1kj22jβ2(j-k)ρ(j,β)ρ(k-j,β)λ=0n-12(k2β2-k+1-kβ2)λ+2(k2β2-k+1)n 43
=2kβ2(n-1)2(k2β2-k+1-kβ2)n-12k2β2-k+1-kβ2-12k2β2-kj=1k-1kj22jβ2(j-k)ρ(j,β)ρ(k-j,β)+2(k2β2-k+1)n. 44

Define

π(k,β):=2k2β2-kj=1k-1kj22jβ2(j-k)ρ(j,β)ρ(k-j,β). 45

Hence, for 0<|β|<1k,

MoMn(k,β)π(k,β)2kβ2(n-1)2(k2β2-k+1-kβ2)n-12k2β2-k+1-kβ2-1+2(k2β2-k+1)n 46
=π(k,β)2(kβ2)n-2(k2β2-k+1)n2kβ2-2k2β2-k+1+2(k2β2-k+1)n. 47

Observe that since kβ2<1 and k2,

k2β2+k-1<kβ2. 48

Hence, for 0<|β|<1k,

MoMn(k,β)ρ(k,β)2kβ2n, 49

as n where ρ(k,β):=π(k,β)(2kβ2-2k2β2-k+1)-1.

Range: |β|=1k

For this value of β, we expect MoMn(k,β) to grow like n2n. Additionally, for kβ2=1, one has mβ2<1 for m=1,,k-1. From (40) we have

MoMn(k,β)=2k2β2-kλ=0n-12(k2β2-k+1)λj=1k-1kj22jβ2(j-k)×MoMn-λ-1(j,β)MoMn-λ-1(k-j,β)+2(k2β2-k+1)n 50
=j=1k-1kj22jk(j-k)λ=0n-12λMoMn-λ-1(j,β)MoMn-λ-1(k-j,β)+2n 51
j=1k-1kj22jk(j-k)ρ(j,β)ρ(k-j,β)λ=0n-12λ2(n-λ-1)+2n 52
=n2nj=1k-1kj22jk(j-k)-1ρ(j,β)ρ(k-j,β)+2n. 53

Hence, as n

MoMn(k,1k)σ(k,β)n2n, 54

where

σ(k,β):=12j=1k-1kj22jk(j-k)ρ(j,β)ρ(k-j,β). 55

Range: |β|>1k

In this range, kβ2>1 so we expect MoMn(k,β) to grow like 2(k2β2-k+1)n. As previously mentioned, it will be necessary to further partition the span of values. The three divisions8 are:

  • 1m<|β|<1m-1, for m=3,,k,

  • 12<|β|,

  • |β|=1m, for m=2,,k-1.

Range: 1m<|β|<1m-1

Assume that 1m<|β|<1m-1 for some m{3,,k}. We first record a useful rewriting of (40) due to the symmetric nature of the summands. If k is odd then

MoMn(k,β)=2k2β2-k+1λ=0n-12(k2β2-k+1)λj=1k-12kj22jβ2(j-k)×MoMn-λ-1(j,β)MoMn-λ-1(k-j,β)+2(k2β2-k+1)n. 56

Instead if k is even, then

MoMn(k,β)=2k2β2-k+1λ=0n-12(k2β2-k+1)λj=1k-22kj22jβ2(j-k)×MoMn-λ-1(j,β)MoMn-λ-1(k-j,β)+2k2β22-kkk2λ=0n-12(k2β2-k+1)λMoMn-λ-1(k2,β)2+2(k2β2-k+1)n. 57

In either case, MoMn(j,β) is paired with MoMn(k-j,β). Hence, we first consider the case of 2<mk2 and split the sums at m in order to apply (33). Then, (56) becomes

MoMn(k,β)=2k2β2-k+1λ=0n-12(k2β2-k+1)λ[j=1m-1kj22jβ2(j-k)MoMn-λ-1(j,β)MoMn-λ-1(k-j,β)+j=mk-12kj22jβ2(j-k)MoMn-λ-1(j,β)MoMn-λ-1(k-j,β)]+2(k2β2-k+1)n. 58

Instead if k is even and 2<mk2

MoMn(k,β)=2k2β2-k+1λ=0n-12(k2β2-k+1)λ[j=1m-1kj22jβ2(j-k)MoMn-λ-1(j,β)MoMn-λ-1(k-j,β)+j=mk2-1kj22jβ2(j-k)MoMn-λ-1(j,β)MoMn-λ-1(k-j,β)]+2k2β22-kkk2λ=0n-12(k2β2-k+1)λMoMn-λ-1(k2,β)2+2(k2β2-k+1)n. 59

If k2<mk and k odd,

MoMn(k,β)=2k2β2-k+1λ=0n-12(k2β2-k+1)λ[j=1k-mkj22jβ2(j-k)MoMn-λ-1(j,β)MoMn-λ-1(k-j,β)+j=k-m+1k-12kj22jβ2(j-k)MoMn-λ-1(j,β)MoMn-λ-1(k-j,β)]+2(k2β2-k+1)n. 60

If k2<mk and k even,

MoMn(k,β)=2k2β2-k+1λ=0n-12(k2β2-k+1)λ[j=1k-mkj22jβ2(j-k)MoMn-λ-1(j,β)MoMn-λ-1(k-j,β)+j=k-m+1k2-1kj22jβ2(j-k)MoMn-λ-1(j,β)MoMn-λ-1(k-j,β)]+2k2β22-kkk2λ=0n-12(k2β2-k+1)λMoMn-λ-1(k2,β)2+2(k2β2-k+1)n. 61

Now, applying (33) to (58), for odd k and 2<mk2

MoMn(k,β)2k2β2-k+1λ=0n-12(k2β2-k+1)λ[j=1m-1kj22jβ2(j-k)ρ(j,β)τ(k-j,β)2(jβ2+(k-j)2β2-(k-j)+1)(n-λ-1)+j=mk-12kj22jβ2(j-k)τ(j,β)τ(k-j,β)2(j2β2-j+1+(k-j)2β2-(k-j)+1)(n-λ-1)]+2(k2β2-k+1)n 62
=2(k2β2-k+1)n[j=1m-1kjρ(j,β)τ(k-j,β)2jβ2(j-1)-j1-2j(β2(j+1-2k)+1)n2j(β2(2k-j-1)-1)-1+j=mk-12kjτ(j,β)τ(k-j,β)1-2(2jβ2(j-k)+1)n2(22jβ2(k-j)-1-1)+1]. 63

Hence, in order to show that MoMn(k,β) grows like 2(k2β2-k+1)n, we need to establish both that 2j(β2(j+1-2k)+1)n is subleading, for j=1,,m-1, as well as 2(2jβ2(j-k)+1)n for j=m,,k-12, provided 1m<|β|<1m-1 and 2<mk-12.

In the first case, we have jβ2<1 for j=1,,m-1 as 1m<|β|<1m-1. Further

jβ2<1<(2k-1)β2-1 64

since lβ2>1 for l=m,,k. Hence

β2(j+1-2k)+1<0, 65

as required. Now take j=m,,k-12. By assumption, lβ2>1 for lm, and mk-12. We therefore have

jβ2(k-j)>1>12 66

hence

2jβ2(j-k)+1<0. 67

If k is even, but still 2<mk2 then entirely similarly to the odd k case we find

MoMn(k,β)2(k2β2-k+1)n[j=1m-1kjρ(j,β)τ(k-j,β)2jβ2(j-1)-j1-2j(β2(j+1-2k)+1)n2j(β2(2k-j-1)-1)-1+j=mk-22kjτ(j,β)τ(k-j,β)1-2(2jβ2(j-k)+1)n2(22jβ2(k-j)-1-1)+kk2τ(k2,β)21-2(1-k2β22)n22(2k2β22-1-1)+1], 68

thus, the same arguments hold for the first two sums of (68) as for the odd k case. We are done provided additionally that the contribution from 2(1-k2β22)n is subleading. As kβ2>1 and k>2, we therefore have k2β2>2, and so

1-k2β22<0. 69

Moving to the case where k-12<mk and k odd, and applying (33) to (60) we find

MoMn(k,β)2(k2β2-k+1)n[j=1k-mkjρ(j,β)τ(k-j,β)2j(β2(j-1)-1)1-2j(β2(j+1-2k)+1)n2j(β2(2k-j-1)-1)-1+1]+2k2β2-k+1-kβ2j=k-m+1k-12kjρ(j,β)ρ(k-j,β)22jβ2(j-k)2(k2β2-k+1)n-2kβ2n2k2β2-k+1-kβ2-1. 70

Since kβ2>1 by assumption, we have that the terms in the second sum of (70) do grow asymptotically like 2(k2β2-k+1)n. To confirm that this is also true for the terms in the first sum, we check that j(β2(j+1-2k)+1<0 for j=1,,k-m and k-12<mk. This is true by the same arguments as above (see (64) and (65)).

To conclude we consider the case of even k and k2<mk, we find here that

MoMn(k,β)2(k2β2-k+1)n[j=1k-mkjρ(j,β)τ(k-j,β)2j(β2(j-1)-1)1-2j(β2(j+1-2k)+1)n2j(β2(2k-j-1)-1)-1+1]+2k2β2-k+1-kβ2j=k-m+1k-22kjρ(j,β)ρ(k-j,β)22jβ2(j-k)2(k2β2-k+1)n-2kβ2n2k2β2-k+1-kβ2-1+2k2β22-k-kβ2kk2ρ(k2,β)22(k2β2-k+1)n-2kβ2n2k2β2-k+1-kβ2-1, 71

thus we employ the arguments of (70). This concludes the proof for |β|1m,1m-1, where m{3,,k}.

Range: 12<|β|

In this range, lβ2>1 for all l=2,,k. Since MoMn(1,β)=2β2n, we replace all occurrences of MoMn-λ-1(l,β) in (40) by

τ(j,β)2(j2β2-j+1)(n-λ-1) 72

for j=1,,k-1 using (33) (where recall we define τ(1,β)1)). Thus,

MoMn(k,β)2(k2β2-k+1)n[122j=1k-1kjτ(j,β)τ(k-j,β)2(2jβ2(j-k)+1)nλ=0n-12(2jβ2(k-j)-1)λ+1]=2(k2β2-k+1)n[122j=1k-1kjτ(j,β)τ(k-j,β)1-2(2jβ2(j-k)+1)n22jβ2(k-j)-1-1+1]. 73

Thus, in order to establish that MoMn(k,β) grows as 2(k2β2-k+1)n for this range of β, we confirm that the contribution from 2(2jβ2(j-k)+1)n is subleading for j=1,,k-1. This is true since 2jβ2>1 by assumption and k-j1, so

2jβ2(k-j)>1. 74

Range: |β|=1m

Assume that |β|=1m for some m{2,,k-1} (the cases m=1,k were dealt with in Sects. 3.3.2 and 3.2 respectively). We revisit the techniques used in Sect. 3.3.1. Beginning with the odd k case, we separate (56) around the mth term to find

MoMn(k,β)=2k2β2-k+1λ=0n-12(k2β2-k+1)λ[j=1m-1kj22jβ2(j-k)MoMn-λ-1(j,β)MoMn-λ-1(k-j,β)+km22β2m(m-k)MoMn-λ-1(m,β)MoMn-λ-1(k-m,β)+j=m+1k-12kj22jβ2(j-k)MoMn-λ-1(j,β)MoMn-λ-1(k-j,β)]+2(k2β2-k+1)n. 75

Since the sums over j=1,,m-1 and j=m+1,,k-12 can be handled using the arguments of Sect. 3.3.1, we only need to determine how the middle term (i.e. j=m) grows asymptotically. Using (33) we examine

2k2β2-k+1km22β2m(m-k)λ=0n-12(k2β2-k+1)λMoMn-λ-1(m,β)MoMn-λ-1(k-m,β)kmσ(m,1m)τ(k-m,1m)2k2β2-k+1+2(m-k)λ=0n-1(n-λ-1)2(k2β2-k+1)λ2(1+(k-m)2β2-(k-m)+1)(n-λ-1) 76
=12kmσ(m,1m)τ(k-m,1m)2(k2β2-k+1+2(m-k)+1)nλ=0n-1(n-λ-1)2(2(k-m)-1)λ. 77

Computing the sum over λ, we have

λ=0n-1(n-λ-1)22(m-k)λ=2(2(k-m)-1)n-1+n(1-22(k-m)-1)(1-22(k-m)-1)2. 78

Combining (77) and (78) gives

12kmσ(m,1m)τ(k-m,1m)2(k2β2-k+1+2(m-k)+1)nλ=0n-1(n-λ-1)2(2(k-m)-1)λ=12kmσ(m,1m)τ(k-m,1m)×2(k2β2-k+1)n-2(k2β2-k+1+2(m-k)+1)n+n2(k2β2-k+1+2(m-k)+1)n(1-22(k-m)-1)(1-22(k-m)-1)2. 79

Thus, the result follows once it is established that 2(m-k)+1 is negative. By assumption m{2,,k-1}, so 2(k-m)>1 and thus we conclude. The case for even k follows from precisely the same reasoning, except in the case where m=k2.

Assume k4 is even9 and m=k2, then by (57) we have

MoMn(k,β)=2k2β2-k+1λ=0n-12(k2β2-k+1)λj=1k-22kj22jβ2(j-k)×MoMn-λ-1(j,β)MoMn-λ-1(k-j,β)+2k2β22-kkk2λ=0n-12(k2β2-k+1)λMoMn-λ-1(k2,β)2+2(k2β2-k+1)n. 80

As above, the sum has already been handled by the argument in Sect. 3.3.1, thus we only consider the penultimate term. Since k4, when we apply (33), we may replace MoMn-λ-1(k2,β) with σ(k,β)(n-λ-1)2n-λ-1 (this is not true if k=2):

2k2β22-kkk2λ=0n-12(k2β2-k+1)λMoMn-λ-1k2,β2kk2σ(k,β)222(n-1)λ=0n-1(n-λ-1)22(k-1)λ 81
=kk2σ(k,β)2(2(k+1)n-22n)(2k+2)-2(n2n(2k-1-1))2-n22n(2k-2)(2k-2)3. 82

By assumption, k2β2=1, so k2β2-k+1 simplifies to k+1. Thus, the result follows if 22n is subleading to 2(k+1)n. This follows since k4.

Proof of Corollary 1

Assume k,βN. When k=1,2, the result follows from the computation in Sect. 2.2, see (18), (19) and (25). There it is shown that

MoMn(1,β)=2β2n, 83
MoMn(2,β)=22β2-122β2-22(4β2-1)n-122β2-22(2β2)n, 84

thus both are polynomials in 2n of degree k2β2-k+1. Proceeding inductively, assume that

MoMn(j,β)=rj=0j2β2-j+1αrjj2nrj 85

for j<k, and that αrjj are the appropriate coefficients for the polynomial MoMn(j,β). Then, using (40),

MoMn(k,β)=2k2β2-kj=1k-1kj22jβ2(j-k)×λ=0n-12(k2β2-k+1)λMoMn-λ-1(j,β)MoMn-λ-1(k-j,β)+2(k2β2-k+1)n 86
=2k2β2-kj=1k-1kj22jβ2(j-k)rj=0j2β2-j+1rk-j=0(k-j)2β2-(k-j)+1αrjjαrk-jk-j2(rj+rk-j)(n-1)×λ=0n-12(k2β2-k+1-rj-rk-j)λ+2(k2β2-k+1)n 87
=2k2β2-kj=1k-1kj22jβ2(j-k)rj=0j2β2-j+1rk-j=0(k-j)2β2-(k-j)+1αrjjαrk-jk-j2(rj+rk-j)(n-1)×2(k2β2-k+1-(rj-rk-j))n-12k2β2-k+1-(rj+rk-j)-1+2(k2β2-k+1)n 88
=2k2β2-kj=1k-1rj=0j2β2-j+1rk-j=0(k-j)2β2-(k-j)+1kj22jβ2(j-k)αrjjαrk-jk-j2k2β2-k+1-2rj+rk-j(2(k2β2-k+1)n-2(rj+rk-j)n)+2(k2β2-k+1)n. 89

Thus, MoMn(k,β) is a sum of polynomials in 2n. Since we determined in Sect. 3.3 that when kβ2>1, MoMn(k,β) grows like 2(k2β2-k+1)n, we hence have shown that MoMn(k,β) is a polynomial in 2n of this degree. This completes the proof of Corollary 1.

Acknowledgements

ECB is grateful to the Heilbronn Institute for Mathematical Research for support. JPK is pleased to acknowledge support from ERC Advanced Grant 740900 (LogCorRM) and a Royal Society Wolfson Research Merit Award. We would also like to thank the anonymous referees for their careful reading of the manuscript, and for their helpful questions and comments.

Appendix A: Explicit Examples for Small k

We completely determined MoMn(1,β) and MoMn(2,β) in Sect. 2.2, see  (19), (27), (28), (30). These are valid for any non-zero, real β (and MoMn(k,0)=1 for any kN). Hence, we have

MoMn(1,β)=2β2n 90

and as n

MoMn(2,β)12(1-22β2-1)22β2n,if2β2<1,n22n,if2β2=1,22β2-12(22β2-1-1)2(4β2-1)n,if2β2>1. 91

Following the method outlined in Sect. 2.2, we calculate for k=3:

MoMn(3,β)=123nl1,l2,l3=02nEe2β(Xn(l1)+Xn(l2)+Xn(l3)) 92
=223n31λ=0n-12(9β2+1)λ25β223(n-λ-1)2β2(n-λ-1)MoMn-λ-1(2,β)+2(9β2-2)n 93
=3124β2-22β2nλ=0n-12(8β2-2)λ22β2(n-λ-1)2(2β2-1)(n-λ-1)-12(22β2-1-1)+2(4β2-1)(n-λ-1)+2(9β2-2)n. 94

The second equality follows by splitting the paths before and after the last common level λ:=lcl(l1,l2,l3). Note that at the splitting point, there are 2λ choices for lca(l1,l2,l3) given λ, and hence 31 choices for which paths are paired, and which is the single path. The third equality follows by substituting in (25). Hence, calculating the sum over λ, we find

MoMn(3,β)=31[2(9β2-2)n-2(5β2-1)n2(24β2-1-1)+2(9β2-2)n-2(5β2-1)n2(22β2-2)(24β2-1-1)-22β2(2(9β2-2)n-23β2n)22(22β2-2)(26β2-2-1)]+2(9β2-2)n 95
=31[26β2-2(24β2-2)(26β2-22)2(9β2-2)n-22β2-1(24β2-2)(22β2-2)2(5β2-1)n+22β2(26β2-22)(22β2-2)23β2n]+2(9β2-2)n. 96

Thus, if 3β2>1 then

MoMn(3,β)1+3(26β2-2)(24β2-2)(26β2-22)2(9β2-2)n. 97

If instead 3β2<1 then

MoMn(3,β)3·22β2(26β2-22)(22β2-2)23β2n. 98

Finally, if 3β2=1 then using (94) we find

MoMn(3,13)=3·213(n-2)[223(n-1)223-2λ=0n-1(2-13(n-λ-1)-1)+213(n-1)λ=0n-1213λ]+2n 99
=3273-22n2n-3·213(273-22)(213-1)(2n-223n)+3243-2(2n-223n)+2n. 100

Thus, as n

MoMn(3,13)3273-22n2n. 101

Hence, overall as n,

MoMn(3,β)3·22β2(22-26β2)(2-22β2)23β2n,if3β2<1,3273-22n2n,if3β2=1,1+3(26β2-2)(24β2-2)(26β2-22)2(9β2-2)n,if3β2>1. 102

Using the inductive method described above, one additionally finds that

MoMn(4,β)=216β2-3n+41216β2-3n-210β2-2n26β2-2+4131[216β2-3n-210β2-2n24β2-226β2-4+28β2216β2-3n-24β2n22β2-226β2-4212β2-8-26β2-24β2216β2-3n-26β2-1n22β2-224β2-2210β2-4]+4228β2-4[216β2-3n-24β2n22β2-22216β2-3-24β2-22-6β2216β2-3n-26β2-1n22β2-22210β2-2-1-216β2-3n-26β2-1n22β2-2216β2-3-26β2-1+22-8β2216β2-3n-28β2-2n22β2-2228β2-1-1+216β2-3n-28β2-2n22β2-2216β2-3-28β2-2+216β2-3n-28β2-2n216β2-3-28β2-2]. 103

Thus, if 4β2<1 then

MoMn(4,β)24β2n3·28β2+22-22β24-26β28-212β2+3·28β2-32-22β2224β2-216β2-3 104

as n. Instead if 4β2>1 then

MoMn(4,β)2(16β2-3)n1+426β2-2+12[124β2-226β2-4-26β2-24β222β2-224β2-2210β2-4+28β222β2-226β2-4212β2-8]+3·28β2-3[122β2-22216β2-3-24β2-22-6β222β2-22210β2-2-1-122β2-2216β2-3-26β2-1+122β2-2216β2-3-28β2-2+1216β2-3-28β2-2+22-8β222β2-2228β2-1-1]. 105

For k=5 we have

MoMn(5,β)=51216β2-42β2n[2(16β2-3)(n-1)2(8β2-1)n-128β2-1-1+412(16β2-3)(n-1)2(8β2-1)n-1(26β2-2)(28β2-1-1)-412(10β2-2)(n-1)2(14β2-2)n-1(26β2-2)(214β2-2-1)+41312(16β2-3)(n-1)2(8β2-1)n-1(24β2-2)(26β2-4)(28β2-1-1)-41312(10β2-2)(n-1)2(14β2-2)n-1(24β2-2)(26β2-4)(214β2-2-1)-4131(26β2-24β2)2(16β2-3)(n-1)2(8β2-1)n-1(24β2-2)(22β2-2)(210β2-4)(28β2-1-1)+4131(26β2-24β2)2(6β2-1)(n-1)2(18β2-3)n-1(24β2-2)(22β2-2)(210β2-4)(218β2-3-1)+413128β22(16β2-3)(n-1)2(8β2-1)n-1(22β2-2)(26β2-4)(212β2-8)(28β2-1-1)-413128β224β2(n-1)2(20β2-4)n-1(22β2-2)(26β2-4)(212β2-8)(220β2-4-1)+4228β22(16β2-3)(n-1)2(8β2-1)n-124(22β2-2)2(216β2-3-24β2)(28β2-1-1)-4228β224β2(n-1)2(20β2-4)n-124(22β2-2)2(216β2-3-24β2)(220β2-4-1)+422(16β2-3)(n-1)2(8β2-1)n-122(22β2-2)2(28β2-1-1)2
-422(8β2-2)(n-1)2(16β2-2)n-122(22β2-2)2(28β2-1-1)(216β2-2-1)+4228β22(16β2-3)(n-1)2(8β2-1)n-128β2+2(28β2-1-1)2-4228β22(8β2-2)(n-1)2(16β2-2)n-128β2+2(28β2-1-1)(216β2-2-1)+4228β22(16β2-3)(n-1)2(8β2-1)n-128β2+2(22β2-2)(28β2-1-1)2-4228β22(8β2-2)(n-1)2(16β2-2)n-128β2+2(22β2-2)(28β2-1-1)(216β2-2-1)-4222β22(16β2-3)(n-1)2(8β2-1)n-122(22β2-2)2(210β2-2-1)(28β2-1-1)+4222β22(6β2-1)(n-1)2(18β2-3)n-122(22β2-2)2(210β2-2-1)(218β2-3-1)-4222β22(16β2-3)(n-1)2(8β2-1)n-123(22β2-2)(210β2-2-1)(28β2-1-1)+4222β22(6β2-1)(n-1)2(18β2-3)n-123(22β2-2)(210β2-2-1)(218β2-3-1)]+52213β2-4
[31(22β2-1)(26β2-2)2(13β2-3)(n-1)(2(12β2-1)n-1)(22β2-2)(26β2-4)(24β2-2)(212β2-1-1)-31(22β2-1)22(9β2-2)(n-1)(2(16β2-2)n-1)(22β2-2)2(24β2-2)(216β2-2-1)+31(24β2-22β2)2(7β2-1)(n-1)(2(18β2-3)n-1)(22β2-2)2(26β2-4)(218β2-3-1)+(22β2-1)2(13β2-3)(n-1)(2(12β2-1)n-1)(22β2-2)(212β2-1-1)-31(26β2-2)2(11β2-2)(n-1)(2(14β2-2)n-1)(22β2-2)(26β2-4)(24β2-2)(214β2-2-1)+31(22β2-1)2(7β2-1)(n-1)(2(18β2-3)n-1)(22β2-2)2(24β2-2)(218β2-3-1)-3122β225β2(n-1)(2(20β2-4)n-1)(22β2-2)2(26β2-4)(220β2-4-1)-2(11β2-2)(n-1)(2(14β2-2)n-1)(22β2-2)(214β2-2-1)]+2(25β2-4)n. 106

Thus, if 5β2<1 then

MoMn(5,β)25β2n15·210β2+12-22β24-26β216-220β2+15·220β2+22-22β24-26β28-212β216-220β2+15·216β22-22β228-212β216-220β2 107

as n. Otherwise if 5β2>1 then, as n,

MoMn(5,β)2(25β2-4)n3026β2-222β2-122β2-224β2-226β2-4212β2-2-15·24β2+122β2-1222β2-2224β2-2216β2-4+1022β2-122β2-2212β2-2+15·26β2+122β2-122β2-2224β2-2218β2-8+15·28β2+122β2-122β2-2226β2-4218β2-8+6024β2-226β2-428β2-2+2026β2-228β2-2+528β2-2-6026β2-24β222β2-224β2-228β2-2210β2-4-15·22β222β2-228β2-2210β2-4-15·22β2+122β2-2228β2-2210β2-4+15·28β2+222β2-226β2-428β2-2212β2-8+15·24β222β2-2228β2-2212β2-8-15·22β2+126β2-222β2-224β2-226β2-4214β2-4-5·22β2+122β2-2214β2-4
-15·26β2+224β2-226β2-4214β2-4-5·26β2+226β2-2214β2-4-15·28β228β2-2216β2-4-15·28β222β2-228β2-2216β2-4-15·28β222β2-2228β2-2216β2-4+60216β2-214β222β2-224β2-2210β2-4218β2-8+15·212β222β2-2210β2-4218β2-8+15·212β2+122β2-22210β2-4218β2-8-15·210β2+122β2-2226β2-4220β2-16-15·220β2+222β2-226β2-4212β2-8220β2-16-15·216β222β2-22212β2-8220β2-16+1522β2-228β2-22+1522β2-2228β2-22+1528β2-22+1. 108

Observe that in all cases computed, in the limit n, the leading order coefficient of MoMn(k,β) fails to be analytic in β. Figures 3a, b, 4a, b plot the leading order coefficients of MoMn(k,β) for k=2,3,4,5 as β varies.

Fig. 3.

Fig. 3

Figures showing the leading coefficients of MoMn(2,β) and MoMn(3,β) as β varies

Fig. 4.

Fig. 4

Figures showing the leading coefficients of MoMn(4,β) and MoMn(5,β) as β varies

Footnotes

1

In fact, their analysis is more general in that they prove results for the CβE ensembles, as well as considering the maximum of the imaginary part of PN(A,θ).

2

Where NN.

3

One can more generally consider moments of moments of other compact random matrix groups, see for example [7].

4

A more precise formulation for the leading order coefficient c(k,β) in the case k3 is is required in order to draw stronger conclusions regarding Pmax(A).

5

In (11), the ‘temperature’ parameter is 2β rather than -β, so as to be in keeping with the random matrix literature.

6

For further details on the form of α(k,β) and c(k,β) see [12] for the case k=2, and [8, 9] for expressions for c(k,β) for k3.

7

For example, ρ(2,β), σ(2,β), and τ(2,β) are given respectively by (27), (28), and (30). Although the k=1 case exhibits no phase transition, we will write for ease of notation ρ(1,β)σ(1,β)τ(1,β)=1.

8

Though only when k3 are all three cases required.

9

Recall that the case k=2 has already been calculated in Sect. 2.2.

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Contributor Information

E. C. Bailey, Email: e.c.bailey@bristol.ac.uk

J. P. Keating, Email: keating@maths.ox.ac.uk

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