Related papers: Universal covariance formula for linear statistics…

We find the joint generalized singular value distribution and largest generalized singular value distributions of the $\beta$-MANOVA ensemble with positive diagonal covariance, which is general. This has been done for the continuous $\beta…

Covariance matrix estimation arises in multivariate problems including multivariate normal sampling models and regression models where random effects are jointly modeled, e.g. random-intercept, random-slope models. A Bayesian analysis of…

This paper is aimed at deriving the universality of the largest eigenvalue of a class of high-dimensional real or complex sample covariance matrices of the form $\mathcal{W}_N=\Sigma^{1/2}XX^*\Sigma ^{1/2}$. Here, $X=(x_{ij})_{M,N}$ is an…

We extend previous results providing an exact formula for the variance of a linear statistic for the Jellium model, a one-dimensional model of Statistical mechanics obtained from the $k \longrightarrow 0^{+}$ limit of the Dyson log-gas. For…

In this paper we study covariance estimation with missing data. We consider missing data mechanisms that can be independent of the data, or have a time varying dependency. Additionally, observed variables may have arbitrary (non uniform)…

Signatures of universality are detected by comparing individual eigenvalue distributions and level spacings from financial covariance matrices to random matrix predictions. A chopping procedure is devised in order to produce a statistical…

The salient properties of large empirical covariance and correlation matrices are studied for three datasets of size 54, 55 and 330. The covariance is defined as a simple cross product of the returns, with weights that decay logarithmically…

We prove universality of local eigenvalue statistics in the bulk of the spectrum for orthogonal invariant matrix models with real analytic potentials with one interval limiting spectrum. Our starting point is the Tracy-Widom formula for the…

Consider a random matrix of the form $W_n = M_n + D_n$, where $M_n$ is a Wigner matrix and $D_n$ is a real deterministic diagonal matrix ($D_n$ is commonly referred to as an external source in the mathematical physics literature). We study…

The unitary evolution maps in closed chaotic quantum graphs are known to have universal spectral correlations, as predicted by random matrix theory. In chaotic graphs with absorption the quantum maps become non-unitary. We show that their…

We prove a universal limit theorem for the halting time, or iteration count, of the power/inverse power methods and the QR eigenvalue algorithm. Specifically, we analyze the required number of iterations to compute extreme eigenvalues of…

We prove universality at the edge of the spectrum for unitary (beta=2), orthogonal (beta=1) and symplectic (beta=4) ensembles of random matrices in the scaling limit for a class of weights w(x)=exp(-V(x)) where V is a polynomial,…

We describe an approximate statistical model for the sample variance distribution of the non-linear matter power spectrum that can be calibrated from limited numbers of simulations. Our model retains the common assumption of a multivariate…

We give a constructive proof for the superbosonization formula for invariant random matrix ensembles, which is the supersymmetry analog of the theory of Wishart matrices. Formulas are given for unitary, orthogonal and symplectic symmetry,…

The sum of independent Wishart matrices, taken from distributions with unequal covariance matrices, plays a crucial role in multivariate statistics, and has applications in the fields of quantitative finance and telecommunication. However,…

A "mysterious" relation between the number variance and the variance of the $L$-th ordered eigenvalue, first suggested by French et al. [Ann. Phys. 113, 277 (1978)], is revisited and proven to be asymptotically exact for the $\beta=2$ Dyson…

We consider 1d random Hermitian $N\times N$ block band matrices consisting of $W\times W$ random Gaussian blocks (parametrized by $j,k \in\Lambda=[1,n]\cap \mathbb{Z}$, $N=nW$) with a fixed entry's variance…

We derive exact analytical expressions for correlation functions of singular values of the product of $M$ Ginibre matrices of size $N$ in the double scaling limit $M,N\rightarrow \infty$. The singular value statistics is described by a…

We derive a simple formula for the transformation of an arbitrary covariance matrix of (n+2) bosonic modes under general Bell-like detections, where the last two modes are combined in an arbitrary beam splitter (i.e., with arbitrary…

We provide finite-sample distribution approximations, that are uniform in the parameter, for inference in linear mixed models. Focus is on variances and covariances of random effects in cases where existing theory fails because their…