Related papers: Number of relevant directions in Principal Compone…

Using a Coulomb gas technique, we compute analytically the probability $\mathcal{P}_\beta^{(C)}(N_+,N)$ that a large $N\times N$ Cauchy random matrix has $N_+$ positive eigenvalues, where $N_+$ is called the index of the ensemble. We show…

We compute analytically the probability of large fluctuations to the left of the mean of the largest eigenvalue in the Wishart (Laguerre) ensemble of positive definite random matrices. We show that the probability that all the eigenvalues…

A Wishart matrix is said to be spiked when the underlying covariance matrix has a single eigenvalue $b$ different from unity. As $b$ increases through $b=2$, a gap forms from the largest eigenvalue to the rest of the spectrum, and with…

We analytically compute the large-deviation probability of a diagonal matrix element of two cases of random matrices, namely $\beta=[\vec H^\dagger\vec H]^{-1}_{11}$ and $\gamma=[\vec I_N+\rho\vec H^\dagger\vec H]^{-1}_{11}$, where $\vec H$…

Let $\mathbf{W}\in\mathbb{C}^{n\times n}$ be a {\it single-spiked} Wishart matrix in the class $\mathbf{W}\sim \mathcal{CW}_n(m,\mathbf{I}_n+ \theta \mathbf{v}\mathbf{v}^\dagger) $ with $m\geq n$, where $\mathbf{I}_n$ is the $n\times n$…

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…

We study the probability distribution of the index ${\mathcal N}_+$, i.e., the number of positive eigenvalues of an $N\times N$ Gaussian random matrix. We show analytically that, for large $N$ and large $\mathcal{N}_+$ with the fraction…

We present a simple Coulomb gas method to calculate analytically the probability of rare events where the maximum eigenvalue of a random matrix is much larger than its typical value. The large deviation function that characterizes this…

We consider $N\times N$ Gaussian random matrices, whose average density of eigenvalues has the Wigner semi-circle form over $[-\sqrt{2},\sqrt{2}]$. For such matrices, using a Coulomb gas technique, we compute the large $N$ behavior of the…

We compute exact asymptotic results for the probability of the occurrence of large deviations of the largest (smallest) eigenvalue of random matrices belonging to the Gaussian orthogonal, unitary and symplectic ensembles. In particular, we…

Recently Johansson and Johnstone proved that the distribution of the (properly rescaled) largest principal component of the complex (real) Wishart matrix $ X^* \* X (X^t \*X) $ converges to the Tracy-Widom law as $ n, p $ (the dimensions of…

This is the first part of a paper that studies the phase transition in the asymptotic limit of the rank 1 real Wishart spiked model. In this paper, we consider $N$-dimensional real Wishart matrices $S$ in the class…

The eigenvalue statistics for complex $N \times N$ Wishart matrices $X_{r,s}^\dagger X_{r,s}$, where $ X_{r,s}$ is equal to the product of $r$ complex Gaussian matrices, and the inverse of $s$ complex Gaussian matrices, are considered. In…

We compute analytically, for large N, the probability distribution of the number of positive eigenvalues (the index N_{+}) of a random NxN matrix belonging to Gaussian orthogonal (\beta=1), unitary (\beta=2) or symplectic (\beta=4)…

Principal component analysis (PCA) aims at estimating the direction of maximal variability of a high-dimensional dataset. A natural question is: does this task become easier, and estimation more accurate, when we exploit additional…

We investigate an additive perturbation of a complex Wishart random matrix and prove that a large deviation principle holds for the spectral measures. The rate function is associated to a vector equilibrium problem coming from logarithmic…

Principal component analysis (PCA) is a standard tool for dimensional reduction of a set of $n$ observations (samples), each with $p$ variables. In this paper, using a matrix perturbation approach, we study the nonasymptotic relation…

We consider matrices formed by a random $N\times N$ matrix drawn from the Gaussian Orthogonal Ensemble (or Gaussian Unitary Ensemble) plus a rank-one perturbation of strength $\theta$, and focus on the largest eigenvalue, $x$, and the…

A central problem of random matrix theory is to understand the eigenvalues of spiked random matrix models, introduced by Johnstone, in which a prominent eigenvector (or "spike") is planted into a random matrix. These distributions form…

Let $\mathcal{P}_{\beta}^{(V)} (N_{\cal I})$ be the probability that a $N\times N$ $\beta$-ensemble of random matrices with confining potential $V(x)$ has $N_{\cal I}$ eigenvalues inside an interval ${\cal I}=[a,b]$ of the real line. We…