Related papers: Distribution of spectral linear statistics on rand…
Using the joint distribution for proper time-delays of a chaotic cavity derived by Brouwer, Frahm & Beenakker [Phys. Rev. Lett. {\bf 78}, 4737 (1997)], we obtain, in the limit of large number of channels $N$, the large deviation function…
In this article we show the existence of limiting spectral distribution of a symmetric random matrix whose entries come from a stationary Gaussian process with covariances satisfying a summability condition. We provide an explicit…
Analytical understanding of how low-dimensional latent features reveal themselves in large-dimensional data is still lacking. We study this by defining a linear latent feature model with additive noise constructed from probabilistic…
This paper studies the spectral properties of large matrices and the preconditioning of linear systems, arising from the finite difference discretization of a time-dependent space-fractional diffusion equation with a variable coefficient…
One-rank perturbations of Wigner matrices have been closely studied: let $P=\frac{1}{\sqrt{n}}A+\theta vv^T$ with $A=(a_{ij})_{1 \leq i,j \leq n} \in \mathbb{R}^{n \times n}$ symmetric, $(a_{ij})_{1 \leq i \leq j \leq n}$ i.i.d. with…
We derive the joint distribution of the moments $\mathrm{Tr}\, Q^{\kappa}$ ($\kappa\geq0$) of the Wigner-Smith matrix for a chaotic cavity supporting a large number of scattering channels $n$. This distribution turns out to be…
The delay experienced by a probe due to interactions with a scattering media is highly related to the internal dynamics inside that media. This property is well captured by the Wigner delay time and the resonance widths. By the use of the…
I present here some results on the statistical behaviour of large random matrices in an ensemble where the probability distribution is not a function of the eigenvalues only. The perturbative expansion can be cast in a closed form and the…
Let $f=(f_1,\ldots,f_n)$ be a system of $n$ complex homogeneous polynomials in $n$ variables of degree $d$. We call $\lambda\in\mathbb{C}$ an eigenvalue of $f$ if there exists $v\in\mathbb{C}^n\backslash\{0\}$ with $f(v)=\lambda v$,…
We study numerically the distribution of scattering phases ${\cal P}(\Phi)$ and of Wigner delay times ${\cal P}(\tau_W)$ for the power-law banded random matrix (PBRM) model at criticality with one channel attached to it. We find that ${\cal…
Stationary probability distributions of one-dimensional random walks on lattices with aperiodic disorder are investigated. The pattern of the distribution is closely related to the diffusional behavior, which depends on the wandering…
In this paper we propose the use of $\phi$-divergences as test statistics to verify simple hypotheses about a one-dimensional parametric diffusion process $\de X_t = b(X_t, \theta)\de t + \sigma(X_t, \theta)\de W_t$, from discrete…
We consider sparse inhomogeneous Erd\H{o}s-R\'enyi random graph ensembles where edges are connected independently with probability $p_{ij}$. We assume that $p_{ij}= \varepsilon_N f(w_i, w_j)$ where $(w_i)_{i\ge 1}$ is a sequence of…
We establish the limiting spectral distribution of Kendall's correlation matrices in the moderate high-dimensional regime where the dimension grows slower than the sample size. Our framework allows observations to be independent but not…
A finite dimensional abstract approximation and convergence theory is developed for estimation of the distribution of random parameters in infinite dimensional discrete time linear systems with dynamics described by regularly dissipative…
We investigate properties of the particle distribution near the tip of one-dimensional branching random walks at large times $t$, focusing on unusual realizations in which the rightmost lead particle is very far ahead of its expected…
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…
In this paper, we analyse singular values of a large $p\times n$ data matrix $\mathbf{X}_n= (\mathbf{x}_{n1},\ldots,\mathbf{x}_{nn})$ where the column $\mathbf{x}_{nj}$'s are independent $p$-dimensional vectors, possibly with different…
We consider a classical model related to an empirical distribution function $ F_n(t)=\frac{1}{n}\sum_{k=1}^nI_{\{\xi_k\le t\}}$ of $(\xi_k)_{i\ge 1}$ -- i.i.d. sequence of random variables, supported on the interval $[0,1]$, with continuous…
Consider a $N\times n$ matrix $\Sigma_n=\frac{1}{\sqrt{n}}R_n^{1/2}X_n$, where $R_n$ is a nonnegative definite Hermitian matrix and $X_n$ is a random matrix with i.i.d. real or complex standardized entries. The fluctuations of the linear…