Related papers: Large gaps between random eigenvalues

We study largest singular values of large random matrices, each with mean of a fixed rank $K$. Our main result is a limit theorem as the number of rows and columns approach infinity, while their ratio approaches a positive constant. It…

We study the distribution of the eigenvalue condition numbers $\kappa_i=\sqrt{ (\mathbf{l}_i^* \mathbf{l}_i)(\mathbf{r}_i^* \mathbf{r}_i)}$ associated with real eigenvalues $\lambda_i$ of partially asymmetric $N\times N$ random matrices…

We prove central limit theorem for linear eigenvalue statistics of orthogonally invariant ensembles of random matrices with one interval limiting spectrum. We consider ensembles with real analytic potentials and test functions with two…

The eigenvalue spacing of a uniformly chosen random finite unipotent matrix in its permutation action on lines is studied. We obtain bounds for the mean number of eigenvalues lying in a fixed arc of the unit circle and offer an approach…

We study the problem of detecting the presence of a single unknown spike in a rectangular data matrix, in a high-dimensional regime where the spike has fixed strength and the aspect ratio of the matrix converges to a finite limit. This…

Let $ \bbB_n =\frac{1}{n}(\bbR_n + \bbT^{1/2}_n \bbX_n)(\bbR_n + \bbT^{1/2}_n \bbX_n)^* $ where $ \bbX_n $ is a $ p \times n $ matrix with independent standardized random variables, $ \bbR_n $ is a $ p \times n $ non-random matrix,…

For a fixed $n\ge2$, consider an $n\times n$ matrix $M$ whose entries are random integers bounded by $k$ in absolute value. In this paper, we examine the probability that $M$ is singular (hence has eigenvalue 0), and the probability that…

The auto-cross covariance matrix is defined as \[\mathbf{M}_n=\frac{1} {2T}\sum_{j=1}^T\bigl(\mathbf{e}_j\mathbf{e}_{j+\tau}^*+\mathbf{e}_{j+ \tau}\mathbf{e}_j^*\bigr),\] where $\mathbf{e}_j$'s are $n$-dimensional vectors of independent…

In this paper, we analyze the large n-limit for random matrix with external source with three distinct eigenvalues. And we confine ourselves in the Hermite case and the three distinct eigenvalues are $-a,0,a$. For the case $a^2>3$, we…

Suppose that A_1,\dots, A_N are independent random matrices whose atoms are iid copies of a random variable \xi of mean zero and variance one. It is known from the works of Newman et. al. in the late 80s that when \xi is gaussian then…

We study the probability distribution function $P(\lambda)$ of the largest eigenvalue $\lambda_{\rm max}$ of $N \times N$ random matrices of the form $H + V$, where $H$ belongs to the GOE/GUE ensemble and $V$ is a full rank deterministic…

We study estimation in the linear model $y=A\beta^\star+\epsilon$, in a Bayesian setting where $\beta^\star$ has an entrywise i.i.d. prior and the design $A$ is rotationally-invariant in law. In the large system limit as dimension and…

No-Signalling is a fundamental constraint on the probabilistic predictions made by physical theories. It is usually justified in terms of the constraints imposed by special relativity. However, this justification is not as clear-cut as is…

The self-adjoint, positive Markov operator defined by the P\'olya-Gamma Gibbs sampler (under a proper normal prior) is shown to be trace-class, which implies that all non-zero elements of its spectrum are eigenvalues. Consequently, the…

Ram\'irez and Rider (2009) established that the hard edge of the spectrum of the $\beta$-Laguerre ensemble converges, in the high-dimensional limit, to the bottom of the spectrum of the stochastic Bessel operator. Using stochastic analysis…

Robust covariance estimation is the following, well-studied problem in high dimensional statistics: given $N$ samples from a $d$-dimensional Gaussian $\mathcal{N}(\boldsymbol{0}, \Sigma)$, but where an $\varepsilon$-fraction of the samples…

This paper studies the limits of a spatial random field generated by uniformly scattered random sets, as the density $\lambda$ of the sets grows to infinity and the mean volume $\rho$ of the sets tends to zero. Assuming that the volume…

The Mathieu operator {equation*} L(y)=-y"+2a \cos{(2x)}y, \quad a\in \mathbb{C},\;a\neq 0, {equation*} considered with periodic or anti-periodic boundary conditions has, close to $n^2$ for large enough $n$, two periodic (if $n$ is even) or…

We consider the bifurcation problem $u'' + \lambda u = N(u)$ with two point boundary conditions where $N(u)$ is a general nonlinear term which may also depend on the eigenvalue $\lambda$. We give a variational characterization of the…

In this paper we calculate, in the large N limit, the eigenvalue density of an infinite product of random unitary matrices, each of them generated by a random hermitian matrix. This is equivalent to solving unitary diffusion generated by a…