Related papers: Nonstandard limit theorems and large deviations fo…

Given a sample $X_0,...,X_{n-1}$ from a $d$-dimensional stationary time series $(X_t)_{t \in \mathbb{Z}}$, the most commonly used estimator for the spectral density matrix $F(\theta)$ at a given frequency $\theta \in [0,2\pi)$ is the…

This paper is concerned with extensions of the classical Mar\v{c}enko-Pastur law to time series. Specifically, $p$-dimensional linear processes are considered which are built from innovation vectors with independent, identically distributed…

For two lacunary sequences $(M_{n,1})_{n\geq 2},(M_{n,2})_{n\geq 0}$ and suitable functions $f$ we introduce random matrix ensembles with \begin{equation*} X_{n,n'}=f(M_{n+n',1}x_1,M_{|n-n'|,2}x_2). \end{equation*} We prove weak convergence…

We consider the conjugate gradient algorithm applied to a general class of spiked sample covariance matrices. The main result of the paper is that the norms of the error and residual vectors at any finite step concentrate on deterministic…

In this paper we study the local law for eigenvalues of large random regular bipartite graphs with degree growing arbitrarily fast. We prove that the empirical spectral distribution of the adjacency matrix converges to a scaled down copy of…

The probabilities for gaps in the eigenvalue spectrum of the finite dimension $ N \times N $ random matrix Hermite and Jacobi unitary ensembles on some single and disconnected double intervals are found. These are cases where a reflection…

Let $\mathbf{W}_1$ and $\mathbf{W}_2$ be independent $n\times n$ complex central Wishart matrices with $m_1$ and $m_2$ degrees of freedom respectively. This paper is concerned with the extreme eigenvalue distributions of double-Wishart…

In this paper, we prove a large deviation principle for the empirical measures of a system of weakly interacting diffusion with reflection. We adopt the weak convergence approach. To make this approach work, we show that the sequence of…

We study Nevai's condition from the theory of orthogonal polynomials on the real line. We prove that a large class of measures with unbounded Jacobi parameters satisfies Nevai's condition locally uniformly on the support of the measure away…

The Jacobi polynomials $\hat{P}_n^{(\alpha,\beta)}(x)$ conform the canonical family of hypergeometric orthogonal polynomials (HOPs) with the two-parameter weight function $(1-x)^\alpha (1+x)^\beta, \alpha,\beta>-1,$ on the interval…

We study the dependence of the spectral density of the covariance matrix ensemble on the power spectrum of the underlying multivariate signal. The white noise signal leads to the celebrated Marchenko-Pastur formula. We demonstrate results…

We consider the empirical eigenvalue distribution of an $m\times m$ principle submatrix of an $n\times n$ random unitary matrix distributed according to Haar measure. Earlier work of Petz and R\'effy identified the limiting spectral measure…

For a two-parameter family of Jacobi matrices exhibiting first-order spectral phase transitions, we prove discreteness of the spectrum in the positive real axis when the parameters are in one of the transition boundaries. To this end we…

We consider the singular values of certain Young diagram shaped random matrices. For block-shaped random matrices, the empirical distribution of the squares of the singular eigenvalues converges almost surely to a distribution whose moments…

In this paper we find spectral properties in the large $N$ limit of Dirac operators that come from random finite noncommutative geometries. In particular for a Gaussian potential the limiting eigenvalue spectrum is shown to be universal…

We study the limiting spectral measure of large random Helson matrices and large random matrices of certain patterned structures. Given a real random variable $X \in L^{2+ \varepsilon}(\mathbb{P}) $ for some $\varepsilon > 0$ and…

This paper investigates the spectral properties of Jacobi matrices with limit-periodic coefficients. We show that for a residual set of such matrices, the spectrum is a Cantor set of zero Lebesgue measure, and the spectral measures are…

This work is a companion paper of Gamboa, Nagel, Rouault (J. Funct. Anal. 2016). We continue to explore the connections between large deviations for random objects issued from random matrix theory and sum rules. Here, we are concerned…

In this paper, we prove an optimal global rigidity estimate for the eigenvalues of the Jacobi unitary ensemble. Our approach begins by constructing a random measure defined through the eigenvalue counting function. We then prove its…

We derive the Marchenko-Pastur (MP) law for sample covariance matrices of the form $V_n=\frac{1}{n}XX^T$, where $X$ is a $p\times n$ data matrix and $p/n\to y\in(0,\infty)$ as $n,p \to \infty$. We assume the data in $X$ stems from a…