Related papers: Spiked Models in Wishart Ensemble
Necessary conditions for the existence of non-central Wishart distributions are given. Our method relies on positivity properties of spherical polynomials on Euclidean Jordan Algebras and advances an approach by Peddada and Richards (1991),…
We compute the full probability distribution of the spectral form factor in the self-dual kicked Ising model by providing an exact lower bound for each moment and verifying numerically that the latter is saturated. We show that at large…
We consider the distribution of the top eigenvector $\widehat{v}$ of a spiked matrix model of the form $H = \theta vv^* + W$, in the supercritical regime where $H$ has an outlier eigenvalue of comparable magnitude to $\|W\|$. We show that,…
This paper focuses on investigating Stein's invariant shrinkage estimators for large sample covariance matrices and precision matrices in high-dimensional settings. We consider models that have nearly arbitrary population covariance…
We derive efficient recursive formulas giving the exact distribution of the largest eigenvalue for finite dimensional real Wishart matrices and for the Gaussian Orthogonal Ensemble (GOE). In comparing the exact distribution with the…
The eigenvalue densities of two random matrix ensembles, the Wigner Gaussian matrices and the Wishart covariant matrices, are decomposed in the contributions of each individual eigenvalue distribution. It is shown that the fluctuations of…
We define a class of "algebraic" random matrices. These are random matrices for which the Stieltjes transform of the limiting eigenvalue distribution function is algebraic, i.e., it satisfies a (bivariate) polynomial equation. The Wigner…
In this work, we consider the weighted difference of two independent complex Wishart matrices and derive the joint probability density function of the corresponding eigenvalues in a finite-dimension scenario using two distinct approaches.…
Factorization method is developed for a family of discretely spiked harmonic oscillators. Two sets of intertwining and ladder operators are presented to algebraically generate eigenstates with energies isomorphic to those of the ordinary…
We consider the problem of estimating a rank-one perturbation of a Wigner matrix in a setting of low signal-to-noise ratio. This serves as a simple model for principal component analysis in high dimensions. The mutual information per…
The sum of Wishart matrices has an important role in multiuser communication employing multiantenna elements, such as multiple-input multiple-output (MIMO) multiple access channel (MAC), MIMO Relay channel, and other multiuser channels…
Spiking neural networks (SNNs) have tremendous potential for energy-efficient neuromorphic chips due to their binary and event-driven architecture. SNNs have been primarily used in classification tasks, but limited exploration on image…
The scaled complex Wishart distribution is a widely used model for multilook full polarimetric SAR data whose adequacy has been attested in the literature. Classification, segmentation, and image analysis techniques which depend on this…
We study the eigenvalue of the Wishart matrix, which is created from a time series with temporal correlation. When there is no correlation, the eigenvalue distribution of the Wishart matrix is known as the Marchenko-Pastur distribution…
The model of heavy Wigner matrices generalizes the classical ensemble of Wigner matrices: the sub-diagonal entries are independent, identically distributed along to and out of the diagonal, and the moments its entries are of order 1/N,…
McKay proved that the limiting spectral measures of the ensembles of $d$-regular graphs with $N$ vertices converge to Kesten's measure as $N\to\infty$. In this paper we explore the case of weighted graphs. More precisely, given a large…
We investigate the scattering of scalar plane waves in two dimensions by a heterogeneous layer that is periodic in the direction parallel to its boundary. On describing the layer as a union of periodic laminae, we develop a solution of the…
This paper investigates the asymptotics of eigenstructure of sample covariance matrix under the spiked covariance matrix model in ultra-high-dimensional settings, where the dimensionality can grow much faster than the sample size with $ p…
In this paper, we study the random matrix model of Gaussian Unitary Ensemble (GUE) with fixed-rank (aka spiked) external source. We will focus on the critical regime of the Baik-Ben Arous-P\'ech\'e (BBP) phase transition and establish the…
Consider the $p\times p$ matrix that is the product of a population covariance matrix and the inverse of another population covariance matrix. Suppose that their difference has a divergent rank with respect to $p$, when two samples of sizes…