Related papers: Heavy-tailed chiral random matrix theory
This paper develops an efficient Monte Carlo method to estimate the tail probabilities of the ratio of the largest eigenvalue to the trace of the Wishart matrix, which plays an important role in multivariate data analysis. The estimator is…
We summarise recent results for the chiral Random Two-Matrix Theory constructed to describe QCD in the epsilon-regime with imaginary chemical potential. The virtue of this theory is that unquenched Lattice simulations can be used to…
This paper introduces a new classification scheme - head/tail breaks - in order to find groupings or hierarchy for data with a heavy-tailed distribution. The heavy-tailed distributions are heavily right skewed, with a minority of large…
Heavy-tailed distributions are frequently used to enhance the robustness of regression and classification methods to outliers in output space. Often, however, we are confronted with "outliers" in input space, which are isolated observations…
In this paper we discuss the problem of the estimation of extreme event occurrence probability for data drawn from some multifractal process. We also study the heavy (power-law) tail behavior of probability density function associated with…
This paper deals with symmetric random matrices whose upper diagonal entries are obtained from a linear random field with heavy tailed noise. It is shown that the maximum eigenvalue and the spectral radius of such a random matrix with…
Large deviations for fat tailed distributions, i.e. those that decay slower than exponential, are not only relatively likely, but they also occur in a rather peculiar way where a finite fraction of the whole sample deviation is concentrated…
In this talk we review some recent results from random matrix models as applied to some non-perturbative issues in QCD. All of the issues we will discuss touched upon the important phenomenon related to the spontaneous breaking of chiral…
Modelling multivariate tail dependence is one of the key challenges in extreme-value theory. Multivariate extremes are usually characterized using parametric models, some of which have simpler submodels at the boundary of their parameter…
This article introduces a non-parametric information-theoretic approach to inference about the tail of a continuous or a discrete distribution. Leveraging a new concept named tail profile -- a set of information-theoretic quantities…
Applying the replica method of statistical mechanics, we evaluate the eigenvalue density of the large random matrix (sample covariance matrix) of the form $J = A^{\rm T} A$, where $A$ is an $M \times N$ real sparse random matrix. The…
We consider a Markov chain on $R^+$ with asymptotically zero drift and finite second moments of jumps which is positive recurrent. A power-like asymptotic behaviour of the invariant tail distribution is proven; such a heavy-tailed invariant…
We consider multivariate extreme value statistics for independent but nonidentically distributed random vectors. In particular, the data may have varying tail copulas and also heteroscedastic marginal distributions. Assuming smoothly…
In this paper we revisited the classical problem of max-sum equivalence of randomly weighted sums in two dimensions. In opposite to the most papers in literature, we consider that there exists some interdependence between the primary random…
In QCD at high density, the color-octet quark-antiquark condensate $\langle\overline\psi\gamma_0(\lambda^A)_C (\lambda^A)_F\psi\rangle$ is generally nonzero and dynamically breaks the $\mathrm{SU}(3)_C\times…
We study the spectral properties of a chiral random banded matrix (chRBM) with elements decaying as a power-law ${{\cal H}_{ij}}\sim |i-j|^{-\alpha}$. This model is equivalent to a chiral 1D Anderson Hamiltonian with long range power-law…
This work is denoted to studying the tail behavior of Cox-Ingersoll-Ross (CIR) processes with regime-switching. One essential difference shown in this work between CIR process with regime-switching and without regime-switching is that the…
We consider the tail behavior of random variables $R$ which are solutions of the distributional equation $R\stackrel{d}{=}Q+MR$, where $(Q,M)$ is independent of $R$ and $|M|\le 1$. Goldie and Gr\"{u}bel showed that the tails of $R$ are no…
Fermionic theories with a vanishing chiral condensate (in the chiral limit) have recently attracted considerable interest; in particular variants of multi-flavour QCD are candidates for this behaviour. Here we consider the 2-flavour…
We investigate the universal features of chiral symmetry breaking in large-$N$ QCD by comparing non-perturbative determinations of the low-lying Dirac spectrum with chiral Random Matrix Theory (RMT) predictions. Our numerical Monte Carlo…