Related papers: Large Deviations of the Maximum Eigenvalue for Wis…
Coulomb gases are special probability distributions, related to potential theory, that appear at many places in pure and applied mathematics and physics. In these short expository notes, we focus on some models, ideas, and structures. We…
A method is introduced for studying large deviations in the context of statistical physics of disordered systems. The approach, based on an extension of the cavity method to atypical realizations of the quenched disorder, allows us to…
We derive a Gaussian approximation result for the maximum of a sum of high-dimensional random vectors. Specifically, we establish conditions under which the distribution of the maximum is approximated by that of the maximum of a sum of the…
This paper is concerned with the statistical properties of the Gram matrix $\mathbf{W}=\mathbf{H}\mathbf{H}^\dagger$, where $\mathbf{H}$ is a $2\times2$ complex central Gaussian matrix whose elements have arbitrary variances. With such…
Consider a random matrix $H:\mathbb{R}^n\longrightarrow\mathbb{R}^m$. Let $D\geq2$ and let $\{W_l\}_{l=1}^{p}$ be a set of $k$-dimensional affine subspaces of $\mathbb{R}^n$. We ask what is the probability that for all $1\leq l\leq p$ and…
I present here some results on the statistical behaviour of large random matrices in an ensemble where the probability distribution is not a function of the eigenvalues only. The perturbative expansion can be cast in a closed form and the…
In this paper, we use a new approach to prove that the largest eigenvalue of the sample covariance matrix of a normally distributed vector is bigger than the true largest eigenvalue with probability 1 when the dimension is infinite. We…
We introduce and compare computational techniques for sharp extreme event probability estimates in stochastic differential equations with small additive Gaussian noise. In particular, we focus on strategies that are scalable, i.e. their…
Let $X$ be a $p\times n$ independent identically distributed real Gaussian matrix with positive mean $\mu $ and variance $\sigma^2$ entries. The goal of this paper is to investigate the largest eigenvalue of the noncentral sample covariance…
Wishart correlation matrices are the standard model for the statistical analysis of time series. The ensemble averaged eigenvalue density is of considerable practical and theoretical interest. For complex time series and correlation…
Gaussian random fields on Euclidean spaces whose variances reach their maximum values at unique points are considered. Exact asymptotic behaviors of probabilities of large absolute maximum of theirs trajectories have been evaluated using…
This paper introduces a framework based on Large Deviation Theory (LDT) to accurately and efficiently compute the rare probabilities of voltage collapse. We formulate the problem as finding the most probable failure point (the instanton) on…
We establish sharp tail asymptotics for component-wise extreme values of bivariate Gaussian random vectors with arbitrary correlation between the components. We consider two scaling regimes for the tail event in which we demonstrate the…
One of the goals of climate science is to characterize the statistics of extreme and potentially dangerous events in the present and future climate. Extreme events like heat waves, droughts, or floods due to persisting rains are…
In this paper we study the large deviations of time averaged mean square displacement (TAMSD) for Gaussian processes. The theory of large deviations is related to the exponential decay of probabilities of large fluctuations in random…
We study large Wigner random matrices in the case when the marginal distributions of matrix entries have heavy tails. We prove that the largest eigenvalues of such matrices have Poisson statistics.
By their very nature, rare event probabilities are expensive to compute; they are also delicate to estimate as their value strongly depends on distributional assumptions on the model parameters. Hence, understanding the sensitivity of the…
A finite dimensional quantum system for which the quantum chaos conjecture applies has eigenstates, which show the same statistical properties than the column vectors of random orthogonal or unitary matrices. Here, we consider the different…
We prove a large deviation result for a random symmetric n x n matrix with independent identically distributed entries to have a few eigenvalues of size n. If the spectrum S survives when the matrix is rescaled by a factor of n, it can only…
We determine the leading order of the maximum of the random potential associated to a two-dimensional Coulomb gas for general $\beta$ and general confinement potential, extending the recent result of Lambert-Lebl\'e-Zeitouni. In the case…