Related papers: Decomposition of spectral density in individual ei…
We derive exact analytic expressions for the distributions of eigenvalues and singular values for the product of an arbitrary number of independent rectangular Gaussian random matrices in the limit of large matrix dimensions. We show that…
We consider random n\times n matrices of the form (XX*+YY*)^{-1/2}YY*(XX*+YY*)^{-1/2}, where X and Y have independent entries with zero mean and variance one. These matrices are the natural generalization of the Gaussian case, which are…
The recent paper "Finite size effects in the averaged eigenvalue density of Wigner random-sign real symmetric matrices" by G.S. Dhesi and M. Ausloos [Phys. Rev. E 93 (2016), 062115] uses the replica method to compute the $1/N$ correction to…
We study the asymptotic behavior of eigenvalues of large complex correlated Wishart matrices at the edges of the limiting spectrum. In this setting, the support of the limiting eigenvalue distribution may have several connected components.…
We show that the eigenvalue density of a product X=X_1 X_2 ... X_M of M independent NxN Gaussian random matrices in the large-N limit is rotationally symmetric in the complex plane and is given by a simple expression rho(z,\bar{z}) =…
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…
We develop a method to compute the moments of the eigenvalue densities of matrices in the Gaussian, Laguerre and Jacobi ensembles for all the symmetry classes beta = 1,2, 4 and finite matrix dimension n. The moments of the Jacobi ensembles…
We consider $N\times N$ random matrices of the form $H=W+V$ where $W$ is a real symmetric or complex Hermitian Wigner matrix and $V$ is a random or deterministic, real, diagonal matrix whose entries are independent of $W$. We assume…
We address overcrowding estimates for the singular values of random iid matrices, as well as for the eigenvalues of random Wigner matrices. We show evidence of long range separation under arbitrary perturbation even in matrices of discrete…
For a broad class of unitary ensembles of random matrices we demonstrate the universal nature of the Janossy densities of eigenvalues near the spectral edge, providing a different formulation of the probability distributions of the limiting…
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 salient properties of large empirical covariance and correlation matrices are studied for three datasets of size 54, 55 and 330. The covariance is defined as a simple cross product of the returns, with weights that decay logarithmically…
We extend the method of rescaled Ward identities of Ameur-Kang-Makarov to study the distribution of eigenvalues close to a bulk singularity, i.e. a point in the interior of the droplet where the density of the classical equilibrium measure…
This paper proves universality of the distribution of the smallest and largest gaps between eigenvalues of generalized Wigner matrices, under some smoothness assumption for the density of the entries. The proof relies on the Erd{\H…
We investigate the fluctuations around the mean of the Stieltjes transform of the empirical spectral distribution of any selfadjoint noncommutative polynomial in a Wigner matrix and a deterministic diagonal matrix. We obtain the convergence…
We study the asymptotic behavior of the eigenvalues of Gaussian perturbations of large Hermitian random matrices for which the limiting eigenvalue density vanishes at a singular interior point or vanishes faster than a square root at a…
We compute statistical distributions of individual low-lying eigenvalues of random matrix ensembles interpolating chiral Gaussian symplectic and unitary ensembles. To this aim we use the Nystrom-type discretization of Fredholm Pfaffians and…
Using Grassmann variables and an analogy with two dimensional electrostatics, we obtain the average eigenvalue distribution $\rho(\omega)$ of ensembles of $N \times N$ asymmetrically diluted Hopfield matrices in the limit $N \rightarrow…
Recently Burkhardt et. al. introduced the $k$-checkerboard random matrix ensembles, which have a split limiting behavior of the eigenvalues (in the limit all but $k$ of the eigenvalues are on the order of $\sqrt{N}$ and converge to…
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…