Related papers: Singular value correlation functions for products …
We introduce a one-parameter deformation of the Wishart-Laguerre or chiral ensembles of positive definite random matrices with Dyson index beta=1,2 and 4. Our generalised model has a fat-tailed distribution while preserving the invariance…
For random matrices with block correlation structure we show that the fluctuations of linear eigenvalue statistics are Gaussian on all mesoscopic scales with universal variance which coincides with that of the Gaussian unitary or Gaussian…
Assume a finite set of complex random variables form a determinantal point process, we obtain a theorem on the limit of the empirical distribution of these random variables. The result is applied to %We study the limits of the empirical…
This article concerns a class of generalized linear mixed models for clustered data, where the random effects are mapped uniquely onto the grouping structure and are independent between groups. We derive necessary and sufficient conditions…
We have discussed earlier the correlation functions of the random variables $\det(\la-X)$ in which $X$ is a random matrix. In particular the moments of the distribution of these random variables are universal functions, when measured in the…
Consider a doubly-infinite array of iid centered variables with moment conditions, from which one can extract a finite number of rectangular, overlapping submatrices, and form the corresponding Wishart matrices. We show that under basic…
We consider random stochastic matrices $M$ with elements given by $M_{ij}=|U_{ij}|^2$, with $U$ being uniformly distributed on one of the classical compact Lie groups or associated symmetric spaces. We observe numerically that, for large…
We consider the least singular value of $M = R^* X T + U^* YV$, where $R,T,U,V$ are independent Haar-distributed unitary matrices and $X, Y$ are deterministic diagonal matrices. Under weak conditions on $X$ and $Y$, we show that the…
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…
The probability that all eigenvalues of a product of $m$ independent $N \times N$ sub-blocks of a Haar distributed random real orthogonal matrix of size $(L_i+N) \times (L_i+N)$, $(i=1,\dots,m)$ are real is calculated as a multi-dimensional…
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…
We show that the Riemannian Gaussian distributions on symmetric spaces, introduced in recent years, are of standard random matrix type. We exploit this to compute analytically marginals of the probability density functions. This can be done…
The joint distribution of two off-diagonal Wishart matrix elements was useful in recent work on geometric probability [Finch 2010]. Not finding such formulas in the literature, we report these here.
The leading singularities of one-loop scattering amplitudes in planar $\mathcal{N}=4$ super Yang-Mills theory are known to factorise into products of tree-level amplitudes, and this can be seen from a number of different perspectives e.g.…
In this review we summarise recent results for the complex eigenvalues and singular values of finite products of finite size random matrices, their correlation functions and asymptotic limits. The matrices in the product are taken from…
A recursive method is derived to calculate all eigenvalue correlation functions of a random hermitian matrix in the large size limit, and after smoothing of the short scale oscillations. The property that the two-point function is…
The smallest singular value and condition number play important roles in numerical linear algebra and the analysis of algorithms. In numerical analysis with randomness, many previous works make Gaussian assumptions, which are not general…
Max-product "belief propagation" is an iterative, local, message-passing algorithm for finding the maximum a posteriori (MAP) assignment of a discrete probability distribution specified by a graphical model. Despite the spectacular success…
We establish the universality of the singular numbers in random matrix products over $\mathrm{GL}_n(\mathbb{Q}_p)$ as the number of products approaches infinity, with a fixed $n\ge 1$. We demonstrate that, under a broad class of…
Squared singular values of a product of s square random Ginibre matrices are asymptotically characterized by probability distribution P_s(x), such that their moments are equal to the Fuss-Catalan numbers or order s. We find a representation…