Related papers: Universality in Complex Wishart ensembles: The 2 c…
It has been observed that the statistical distribution of the eigenvalues of random matrices possesses universal properties, independent of the probability law of the stochastic matrix. In this article we find the correlation functions of…
Recent technological advances in many domains including both genomics and brain imaging have led to an abundance of high-dimensional and correlated data being routinely collected. Classical multivariate approaches like Multivariate Analysis…
This paper investigates limiting properties of eigenvalues of multivariate sample spatial-sign covariance matrices when both the number of variables and the sample size grow to infinity. The underlying p-variate populations are general…
Properties of universality have essential relevance for the theory of random matrices usually called the Wigner ensemble. The issue was analysed up to recent years with detailed and relevant results. We present a slightly different view and…
In this paper, we first briefly review some recent results on the distribution of the maximal eigenvalue of a $(N\times N)$ random matrix drawn from Gaussian ensembles. Next we focus on the Gaussian Unitary Ensemble (GUE) and by suitably…
We prove a universal mesoscopic central limit theorem for linear eigenvalue statistics of a Wigner-type matrix inside the bulk of the spectrum with compactly supported twice continuously differentiable test functions. The main novel…
We study the diffusion of complex Wishart matrices and derive a partial differential equation governing the behavior of the associated averaged characteristic polynomial. In the limit of large size matrices, the inverse Cole-Hopf transform…
This work is concerned with finite range bounds on the variance of individual eigenvalues of random covariance matrices, both in the bulk and at the edge of the spectrum. In a preceding paper, the author established analogous results for…
A complete characterization of Wishart distributions on the cones of positive semi-definite matrices is provided in terms of a description of their maximal parameter domain. This result is new in that also degenerate scale parameters are…
The large-matrix limit laws of the rescaled largest eigenvalue of the orthogonal, unitary, and symplectic $n$-dimensional Gaussian ensembles -- and of the corresponding Laguerre ensembles (Wishart distributions) for various regimes of the…
We study transitions between the three universal limiting kernels Airy, Pearcey and sine kernel, arising in Random Matrix Theory at edge, cusp and bulk points of the spectrum. Under appropriate rescalings, we provide complete asymptotic…
In this paper, we prove the edge universality of largest eigenvalues for separable covariance matrices of the form $\mathcal Q :=A^{1/2}XBX^*A^{1/2}$. Here $X=(x_{ij})$ is an $n\times N$ random matrix with $x_{ij}=N^{-1/2}q_{ij}$, where…
We consider the asymptotic behavior of the eigenvalues of Toeplitz matrices with rational symbol as the size of the matrix goes to infinity. Our main result is that the weak limit of the normalized eigenvalue counting measure is a…
We consider an ensemble of large non-Hermitian random matrices of the form $\hat{H}+i\hat{A}_s$, where $\hat{H}$ and $\hat{A}_s$ are Hermitian statistically independent random $N\times N$ matrices. We demonstrate the existence of a new…
The limiting distribution of eigenvalues of N x N random matrices has many applications. One of the most studied ensembles are real symmetric matrices with independent entries iidrv; the limiting rescaled spectral measure (LRSM)…
We consider the probability measures on Young diagrams in the $n \times k$ rectangle obtained by piecewise-continuously differentiable specializations of Schur polynomials in the dual Cauchy identity. We use a free fermionic representation…
In random matrix theory (RMT), the Tracy-Widom (TW) distribution describes the behavior of the largest eigenvalue. We consider here two models in which TW undergoes transformations. In the first one disorder is introduced in the Gaussian…
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…
We compute exact asymptotic of the statistical density of random matrices belonging to invariant random matrices ensemble (RMT) orthogonal, unitary and symplectic ensembles, where all its eigenvalues lie within the interval $[\sigma,…
We numerically investigate the vibrational spectra of single-component clusters in two-dimensions. Stable configurations of clusters at local energy minima are obtained, and for each the hessian matrix is evaluated and diagonalized to…