Related papers: The Tracy-Widom distribution is not infinitely div…
We study the probability that all the eigenvalues of $n\times n$ Hermitian matrices, from the Laguerre unitary ensemble with the weight $x^{\gamma}\mathrm{e}^{-4nx},\;x\in[0,\infty),\;\gamma>-1$, lie in the interval $[0,\alpha]$. By using…
Let $G$ be a finite connected graph on two or more vertices and $G^{[N,k]}$ the distance $k$-graph of the $N$-fold Cartesian power of $G$. For a fixed $k\ge1$, we obtain explicitly the large $N$ limit of the spectral distribution (the…
Twisted Toeplitz matrices constitute a generalization of Toeplitz matrices in the sense that the entries on each diagonal no longer need to be constant, but are given by the values of a continuous function on a partition of $[0,1]$. We…
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)…
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…
Some remarkable properties of the beta distribution are based on relations involving independence between beta random variables such that a parameter of one among them is the sum of the parameters of an other (see (1.1) et (1.2) below).…
We prove the first explicit rate of convergence to the Tracy-Widom distribution for the fluctuation of the largest eigenvalue of sample covariance matrices that are not integrable. Our primary focus is matrices of type $ X^*X $ and the…
We consider the eigenvalues of sample covariance matrices of the form $\mathcal{Q}=(\Sigma^{1/2}X)(\Sigma^{1/2}X)^*$. The sample $X$ is an $M\times N$ rectangular random matrix with real independent entries and the population covariance…
The distribution function of the free energy fluctuations in one-dimensional directed polymers with free boundary conditions is derived by mapping the replicated problem to the N-particle quantum boson system with attractive interactions.…
The extreme eigenvalues of connectivity matrices govern the influence of the network structure on a number of network dynamical processes. A fundamental open question is whether the eigenvalues of large networks are well represented by…
It has been observed that the statistical distribution of the eigenvalues of random matrices possesses universal properties, independent of the probability law of the stochastic matrix. In this article we find the correlation functions of…
The study of complex networks has been one of the most active fields in science in recent decades. Spectral properties of networks (or graphs that represent them) are of fundamental importance. Researchers have been investigating these…
Consider the product of $m$ independent $n\times n$ random matrices from the spherical ensemble for $m\ge 1$. The empirical distribution based on the $n$ eigenvalues of the product is called the empirical spectral distribution. Two recent…
We consider an $N \times N$ random symmetric Toeplitz matrix with an i.i.d. input sequence drawn from a distribution that lies in the domain of attraction of an $\alpha$-stable law for $0 < \alpha < 2$. We show that under an appropriate…
We consider $N\times N$ Hermitian or symmetric random matrices with independent entries. The distribution of the $(i,j)$-th matrix element is given by a probability measure $\nu_{ij}$ whose first two moments coincide with those of the…
We derive expansions of the Hermite and Laguerre kernels at the edge of the spectrum of the finite n Gaussian Unitary Ensemble (GUEn) and the finite n Laguerre Unitary Ensem- ble (LUEn), respectively. Using these large n kernel expansions,…
We consider the empirical eigenvalue distribution of random real symmetric matrices with stochastically independent skew-diagonals and study its limit if the matrix size tends to infinity. We allow correlations between entries on the same…
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…
Under certain conditions, the largest eigenvalue of a sample covariance matrix undergoes a well-known phase transition when the sample size $n$ and data dimension $p$ diverge proportionally. In the subcritical regime, this eigenvalue has…
We present a random matrix interpretation of the distribution functions which have appeared in the study of the one-dimensional polynuclear growth (PNG) model with external sources. It is shown that the distribution, GOE$^2$, which is…