Related papers: Compound real Wishart and q-Wishart matrices

This is the first part of a paper that studies the phase transition in the asymptotic limit of the rank 1 real Wishart spiked model. In this paper, we consider $N$-dimensional real Wishart matrices $S$ in the class…

Applying the concept of matricial freeness which generalizes freeness in free probability, we have recently studied asymptotic joint distributions of symmetric blocks of Gaussian random matrices (Gaussian Symmetric Block Ensemble). This…

We consider sample covariance matrices of the form $X^*X$, where $X$ is an $M \times N$ matrix with independent random entries. We prove the isotropic local Marchenko-Pastur law, i.e. we prove that the resolvent $(X^* X - z)^{-1}$ converges…

We study the limiting spectral distribution of large-dimensional sample covariance matrices associated with symmetric random tensors formed by $\binom{n}{d}$ different products of $d$ variables chosen from $n$ independent standardized…

We consider large Hermitian matrices whose entries are defined by evaluating the exponential function along orbits of the skew-shift $\binom{j}{2} \omega+jy+x \mod 1$ for irrational $\omega$. We prove that the eigenvalue distribution of…

We consider the random matrix obtained by picking vectors randomly from a large collection of mutually unbiased bases of $\mathbb{C}^n$, and prove that the spectral distribution converges to the Marchenko-Pastur law. This shows that vectors…

We establish the asymptotic normality of the dimension of large-size random Fishburn matrices by a complex-analytic approach. The corresponding dual problem of size distribution under large dimension is also addressed and follows a…

In this paper we consider the product of a singular Wishart random matrix and a singular normal random vector. A very useful stochastic representation is derived for this product, using which the characteristic function of the product 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…

For a sufficiently nice 2 dimensional shape, we define its approximating matrix (or patterned matrix) as a random matrix with iid entries arranged according to a given pattern. For large approximating matrices, we observe that the…

We introduce a one-parameter deformation of the Wishart-Laguerre or chiral ensembles of positive definite random matrices with Dyson index beta=1,2 and 4. Our generalised model has a fat-tailed distribution while preserving the invariance…

Appropriately normalized square random Vandermonde matrices based on independent random variables with uniform distribution on the unit circle are studied. It is shown that as the matrix sizes increases without bound, with respect to the…

This paper deals with the asymptotic distribution of Wishart matrix and its application to the estimation of the population matrix parameter when the population eigenvalues are block-wise infinitely dispersed. We show that the appropriately…

We derive the Marchenko-Pastur (MP) law for sample covariance matrices of the form $V_n=\frac{1}{n}XX^T$, where $X$ is a $p\times n$ data matrix and $p/n\to y\in(0,\infty)$ as $n,p \to \infty$. We assume the data in $X$ stems from a…

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…

We prove a version of the classical Dufresne identity for matrix processes. In particular, we show that the inverse Wishart laws on the space of positive definite r x r matrices can be realized by the infinite time horizon integral of M_t…

It is a classical result of Wigner that for an hermitian matrix with independent entries on and above the diagonal, the mean empirical eigenvalue distribution converges weakly to the semicircle law as matrix size tends to infinity. In this…

The wave propagation in random medium plays a critical role in optics and quantum physics. Multiple scattering of coherent wave in a random medium determines the transport procedure. Brownian motions of the scatterers perturb each…

We investigate whether the Wigner semi-circle and Marcenko-Pastur distributions, often used for deep neural network theoretical analysis, match empirically observed spectral densities. We find that even allowing for outliers, the observed…

We consider the sequence $( Q_n )_{n=1}^{\infty}$ of semi-meander polynomials which are used in the enumeration of semi-meandric systems (a family of diagrams related to the classical stamp-folding problem). We show that for a fixed natural…