Related papers: Hard edge tail asymptotics

One-rank perturbations of Wigner matrices have been closely studied: let $P=\frac{1}{\sqrt{n}}A+\theta vv^T$ with $A=(a_{ij})_{1 \leq i,j \leq n} \in \mathbb{R}^{n \times n}$ symmetric, $(a_{ij})_{1 \leq i \leq j \leq n}$ i.i.d. with…

Let $\mathcal A$ be the adjacency matrix of a random $d$-regular graph on $N$ vertices, and we denote its eigenvalues by $\lambda_1\geq \lambda_2\cdots \geq \lambda_{N}$. For $N^{2/3}\ll d\leq N/2$, we prove optimal rigidity estimates of…

We study the statistics of the largest eigenvalue lambda_max of N x N random matrices with unit variance, but power-law distributed entries, P(M_{ij})~ |M_{ij}|^{-1-mu}. When mu > 4, lambda_max converges to 2 with Tracy-Widom fluctuations…

Hermite and Laguerre $\beta$-ensembles are important and well studied models in random matrix theory with special cases $\beta=1,2,4$ corresponding to eigenvalues of classical random matrix ensembles. It is well known that the largest…

Consider the normalized adjacency matrices of random $d$-regular graphs on $N$ vertices with fixed degree $d\geq 3$, and denote the eigenvalues as $\lambda_1=d/\sqrt{d-1}\geq \lambda_2\geq\lambda_3\cdots\geq \lambda_N$. We prove that the…

We analyze the eigenvalue density for the Laguerre and Jacobi $\beta$-ensembles in the cases that the corresponding exponents are extensive. In particular, we obtain the asymptotic expansion up to terms $o(1)$, in the large deviation regime…

In this work, given $p\in (1,\infty)$, we prove the existence and simplicity of the first eigenvalue $\lambda_p$ and its corresponding eigenvector $(u_p,v_p)$, for the following local/nonlocal PDE system \begin{equation}\label{Eq0} \left\{…

For an $n\times n$ Laplacian random matrix $L$ with Gaussian entries it is proven that the fluctuations of the largest eigenvalue and the largest diagonal entry of $L/\sqrt{n-1}$ are Gumbel. We first establish suitable non-asymptotic…

In this note we prove bounds on the upper and lower probability tails of sums of independent geometric or exponentially distributed random variables. We also prove negative results showing that our established tail bounds are asymptotically…

We compute analytically the probability density function (pdf) of the largest eigenvalue $\lambda_{\max}$ in rotationally invariant Cauchy ensembles of $N\times N$ matrices. We consider unitary ($\beta = 2$), orthogonal ($\beta =1$) and…

A random variable $\xi$ has a {\it light-tailed} distribution (for short: is light-tailed) if it possesses a finite exponential moment, $\E \exp (\lambda \xi) <\infty$ for some $\lambda >0$, and has a {\it heavy-tailed} distribution (is…

Given $X$ a random vector in ${\mathbb{R}}^n$, set $X_1,...,X_N$ to be independent copies of $X$ and let $\Gamma=\frac{1}{\sqrt{N}}\sum_{i=1}^N <X_i,\cdot>e_i$ be the matrix whose rows are $\frac{X_1}{\sqrt{N}},\dots, \frac{X_N}{\sqrt{N}}$.…

This paper presents new probability inequalities for sums of independent, random, self-adjoint matrices. These results place simple and easily verifiable hypotheses on the summands, and they deliver strong conclusions about the…

Let $A=(a_{ij})$ be an $n\times n$ random matrix with i.i.d. entries such that $\mathbb{E} a_{11} = 0$ and $\mathbb{E} {a_{11}}^2 = 1$. We prove that for any $\delta>0$ there is $L>0$ depending only on $\delta$, and a subset $\mathcal{N}$…

Let $X$ be a symmetric, isotropic random vector in $\mathbb{R}^m$ and let $X_1...,X_n$ be independent copies of $X$. We show that under mild assumptions on $\|X\|_2$ (a suitable thin-shell bound) and on the tail-decay of the marginals…

The classical random matrix theory is mostly focused on asymptotic spectral properties of random matrices as their dimensions grow to infinity. At the same time many recent applications from convex geometry to functional analysis to…

We calculate analytically the probability of large deviations from its mean of the largest (smallest) eigenvalue of random matrices belonging to the Gaussian orthogonal, unitary and symplectic ensembles. In particular, we show that the…

Let $A$ be an $n\times n$ random matrix with independent, identically distributed mean 0, variance 1 subgaussian entries. We prove that $$ \mathbb{P}(A\text{ has distinct singular values})\geq 1-e^{-cn} $$ for some $c>0$, confirming a…

Consider the sum $Z = \sum_{n=1}^\infty \lambda_n (\eta_n - \mathbb{E}\eta_n)$, where $\eta_n$ are i.i.d.~gamma random variables with shape parameter $r > 0$, and the $\lambda_n$'s are predetermined weights. We study the asymptotic behavior…

Let $\varepsilon_1,\ldots,\varepsilon_n$ be independent identically distributed Rademacher random variables, that is $\mathbb{P}\{\varepsilon_i=\pm1\}=1/2$. Let $S_n=a_1\varepsilon_1+\cdots+a_n\varepsilon_n$, where…