Related papers: On the largest eigenvalue of a Hermitian random ma…
Random matrix theory allows one to deduce the eigenvalue spectrum of a large matrix given only statistical information about its elements. Such results provide insight into what factors contribute to the stability of complex dynamical…
Quantum physics is generally concerned with real eigenvalues due to the unitarity of time evolution. With the introduction of $\mathcal{PT}$ symmetry, a widely accepted consensus is that, even if the Hamiltonian of the system is not…
In the past we have considered Gaussian random matrix ensembles in the presence of an external matrix source. The reason was that it allowed, through an appropriate tuning of the eigenvalues of the source, to obtain results on non-trivial…
We develop a theory for the eigenvalue density of arbitrary non-Hermitian Euclidean matrices. Closed equations for the resolvent and the eigenvector correlator are derived. The theory is applied to the random Green's matrix relevant to wave…
The higher rank numerical range is closely connected to the construction of quantum error correction code for a noisy quantum channel. It is known that if a normal matrix $A \in M_n$ has eigenvalues $a_1, \..., a_n$, then its higher rank…
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 define a class of random matrix ensembles that pertain to random looped polymers. Such random looped polymers are a possible model for bio-polymers such as chromatin in the cell nucleus. It is shown that the distribution of the largest…
The eigenvalue distribution of the sum of two large Hermitian matrices, when one of them is conjugated by a Haar distributed unitary matrix, is asymptotically given by the free convolution of their spectral distributions. We prove that this…
Spectral properties of Hermitian Toeplitz, Hankel, and Toeplitz-plus-Hankel random matrices with independent identically distributed entries are investigated. Combining numerical and analytic arguments it is demonstrated that spectral…
A remarkable property of Hermitian ensembles is their universal behavior, that is, once properly rescaled the eigenvalue statistics does not depend on particularities of the ensemble. Recently, normal matrix ensembles have attracted…
We consider the eigenvalues and eigenvectors of matrices of the form M + P, where M is an n by n Wigner random matrix and P is an arbitrary n by n deterministic matrix with low rank. In general, we show that none of the eigenvalues of M + P…
In this paper, we study a high-dimensional random matrix model from nonparametric statistics called the Kendall rank correlation matrix, which is a natural multivariate extension of the Kendall rank correlation coefficient. We establish the…
Consider the $p\times p$ matrix that is the product of a population covariance matrix and the inverse of another population covariance matrix. Suppose that their difference has a divergent rank with respect to $p$, when two samples of sizes…
Inhomogeneous random matrices with non-trivial variance profiles determined by symmetric stochastic matrices and with independent sub-Gaussian entries up to Hermitian symmetry, encompass a wide range of important models, including sparse…
We consider large non-Hermitian real or complex random matrices $X$ with independent, identically distributed centred entries. We prove that their local eigenvalue statistics near the spectral edge, the unit circle, coincide with those of…
The classical infinite divisibility of distributions related to eigenvalues of some random matrix ensembles is investigated. It is proved that the $\beta$-Tracy-Widom distribution, which is the limiting distribution of the largest…
We consider a Wigner-type ensemble, i.e. large hermitian $N\times N$ random matrices $H=H^*$ with centered independent entries and with a general matrix of variances $S_{xy}=\mathbb E|H_{xy}|^2$. The norm of $H$ is asymptotically given by…
The impact of surface reflection on the statistics of transmission eigenvalues is a largely unexplored subject of fundamental and practical importance in statistical optics. Here, we develop a first-principles theory and confirm numerically…
Efficient schemes for sampling from the eigenvalues of the Wishart distribution have recently been described for both the uncorrelated central case (where the covariance matrix is $\mathbf{I}$) and the spiked Wishart with a single spike…
The theory of random matrices with eigenvalues distributed in the complex plane and more general "beta-ensembles" (logarithmic gases in 2D) is reviewed. The distribution and correlations of the eigenvalues are investigated in the large N…