Related papers: Instantons and Extreme Value Statistics of Random …

We consider an inhomogeneous Erd\H{o}s-R\'enyi random graph $G_N$ with vertex set $[N] = \{1,\dots,N\}$ for which the pair of vertices $i,j \in [N]$, $i\neq j$, is connected by an edge with probability $r(\tfrac{i}{N},\tfrac{j}{N})$,…

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…

We consider the probability that a weighted sum of $n$ i.i.d. random variables $X_j$, $j = 1, . . ., n$, with stretched exponential tails is larger than its expectation and determine the rate of its decay, under suitable conditions on the…

Normalized eigenvalue counting measure of the sum of two Hermitian (or real symmetric) matrices $A_{n}$ and $B_{n}$ rotated independently with respect to each other by the random unitary (or orthogonal) Haar distributed matrix $U_{n}$ (i.e.…

Let $(X_n:n\geq 0)$ be a sequence of i.i.d. r.v.'s with negative mean. Set $S_0=0$ and define $S_n=X_1+... +X_n$. We propose an importance sampling algorithm to estimate the tail of $M=\max \{S_n:n\geq 0\}$ that is strongly efficient for…

We study the tail of $p(U)$, the probability distribution of $U=\vert\psi(0,L)\vert^2$, for $\ln U\gg 1$, $\psi(x,z)$ being the solution to $\partial_z\psi -\frac{i}{2m}\nabla_{\perp}^2 \psi =g\vert S\vert^2\, \psi$, where $S(x,z)$ is a…

Standard statistical analysis is unable to provide reliable confidence intervals on expectation values of probability distributions that do not satisfy the conditions of the central limit theorem. We present a regression-based estimator of…

We suggest approximating the distribution of the sum of independent and identically distributed random variables with a Pareto-like tail by combining extreme value approximations for the largest summands with a normal approximation for the…

We study an inhomogeneous generalization of the classical corner growth in which the weights are exponentially distributed with random parameters. Our main interest is in the quenched and annealed large deviation properties of the last…

Neural networks have been used successfully in a variety of fields, which has led to a great deal of interest in developing a theoretical understanding of how they store the information needed to perform a particular task. We study the…

The dynamics of the eigenvalues (semimartingales) of a L\'{e}vy process $X$ with values in Hermitian matrices is described in terms of It\^{o} stochastic differential equations with jumps. This generalizes the well known Dyson-Brownian…

We give a new expression for the law of the eigenvalues of the discrete Anderson model on the finite interval $[0,N]$, in terms of two random processes starting at both ends of the interval. Using this formula, we deduce that the tail of…

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…

We derive finite time error bounds for estimating general linear time-invariant (LTI) systems from a single observed trajectory using the method of least squares. We provide the first analysis of the general case when eigenvalues of the LTI…

We reconsider the large $N$ asymptotics of Harish-Chandra-Itzykson-Zuber integrals. We provide, using Dyson's Brownian motion and the method of instantons, an alternative, transparent derivation of the Matytsin formalism for the unitary…

We establish sharp tail asymptotics for component-wise extreme values of bivariate Gaussian random vectors with arbitrary correlation between the components. We consider two scaling regimes for the tail event in which we demonstrate the…

We study the tail of the spectrum for non-interacting bosons in a blue-detuned random speckle potential. Using an instanton approach we derive the asymptotic behavior of the density of states in d dimensions. The leading corrections…

Let $(\varepsilon_{t})_{t>0}$ be a sequence of independent real random vectors of $p$-dimension and let $X_T= \sum_{t=s+1}^{s+T}\varepsilon_t\varepsilon^T_{t-s}/T$ be the lag-$s$ ($s$ is a fixed positive integer) auto-covariance matrix of…

Existing theory for multivariate extreme values focuses upon characterizations of the distributional tails when all components of a random vector, standardized to identical margins, grow at the same rate. In this paper, we consider the…

We consider random Schr\"odinger operators of the form $\Delta+\xi$, where $\Delta$ is the lattice Laplacian on $\mathbb Z^d$ and $\xi$ is an i.i.d. random field, and study the extreme order statistics of the eigenvalues for this operator…