Related papers: Duality of real and quaternionic random matrices
We study the fluctuations of eigenvalues from a class of Wigner random matrices that generalize the Gaussian orthogonal ensemble. We begin by considering an $n \times n$ matrix from the Gaussian orthogonal ensemble (GOE) or Gaussian…
This note reports partial results related to the Gaussian product inequality (GPI) conjecture for the joint distribution of traces of Wishart matrices. In particular, several GPI-related results from Wei (2014) and Liu et al. (2015) are…
We present an exact formula for moments and cumulants of several real compound Wishart matrices in terms of an Euler characteristic expansion, similar to the genus expansion for complex random matrices. We consider their asymptotic values…
Wishart random matrix theory is of major importance for the analysis of correlated time series. The distribution of the smallest eigenvalue for Wishart correlation matrices is particularly interesting in many applications. In the complex…
To explore the limits of a stochastic gradient method, it may be useful to consider an example consisting of an infinite number of quadratic functions. In this context, it is appropriate to determine the expected value and the covariance…
Recently much effort has been made towards the introduction of non-Hermitian random matrix models respecting $PT$-symmetry. Here we show that there is a one-to-one correspondence between complex $PT$-symmetric matrices and split-complex and…
By using a symbolic method, known in the literature as the classical umbral calculus, the trace of a non-central Wishart random matrix is represented as the convolution of the trace of its central component and of a formal variable…
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.
We study the singular values of certain triangular random matrices. When their elements are i.i.d. standard complex Gaussian random variables, the squares of the singular values form a biorthogonal ensemble, and with an appropriate change…
Following E. Wigner's original vision, we prove that sampling the eigenvalue gaps within the bulk spectrum of a fixed (deformed) Wigner matrix $H$ yields the celebrated Wigner-Dyson-Mehta universal statistics with high probability.…
We introduce a stochastic process with Wishart marginals: the generalised Wishart process (GWP). It is a collection of positive semi-definite random matrices indexed by any arbitrary dependent variable. We use it to model dynamic (e.g. time…
We extend the relation between random matrices and free probability theory from the level of expectations to the level of fluctuations. We introduce the concept of "second order freeness" and derive the global fluctuations of Gaussian and…
Moments of secular and inverse secular coefficients, averaged over random matrices from classical groups, are related to the enumeration of non-negative matrices with prescribed row and column sums. Similar random matrix averages are…
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…
We study the universality of the local eigenvalue statistics of Gaussian divisible Hermitian Wigner matrices. These random matrices are obtained by adding an independent GUE matrix to an Hermitian random matrix with independent elements, a…
This paper deals with the Elliptical Wishart and Inverse Elliptical Wishart distributions, which play a major role when handling covariance matrices. Similarly to multivariate elliptical distributions, these form a large family of…
We consider a random matrix whose entries are independent Gaussian variables taking values in the field of quaternions with variance $1/n$. Using logarithmic potential theory, we prove the almost sure convergence, as the dimension $n$ goes…
The joint distribution of two off-diagonal Wishart matrix elements was useful in recent work on geometric probability [Finch 2010]. Not finding such formulas in the literature, we report these here.
Duality identities in random matrix theory for products and powers of characteristic polynomials, and for moments, are reviewed. The structure of a typical duality identity for the average of a positive integer power $k$ of the…
We prove that any finite collection of quadratic forms (overlaps) of general deterministic matrices and eigenvectors of an $N\times N$ Wigner matrix has joint Gaussian fluctuations. This can be viewed as the random matrix analogue of the…