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

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 with \(\mathbb {E}\,X_{ij} = 0\), \(\mathbb {E}\,X^2_{ij} = 1\) and \(\mathbb {E}\,X_{ij} X_{ji} = \rho \). We are interested in the asymptotic distribution of eigenvalues of the matrix \(W =\frac{1}{N^2} X^2 X^{*2}\). We show that this distribution is determined by its moments, and we provide a recurrence relation for these moments. We prove that the (symmetrized) asymptotic distribution is determined by its free cumulants, which are Narayana polynomials of type B:

$$\begin{aligned} c_{2n} = \sum _{k=0}^n {\left( {\begin{array}{c}n\\ k\end{array}}\right) }^2 \rho ^{2k}. \end{aligned}$$