Related papers: Heavy-tailed chiral random matrix theory

We consider the following recurrence relation with random i.i.d. coefficients $(a_n,b_n)$: $$ x_{n+1}=a_{n+1} x_n+b_{n+1} $$ where $a_n\in GL(d,\mathbb{R}),b_n\in \mathbb{R}^d$. Under natural conditions on $(a_n,b_n)$ this equation has a…

This work is concerned with the limiting spectral distribution of rank-based dependency measures in high dimensions. We provide distribution-free results for multivariate empirical versions of Kendall's $\tau$ and Spearman's $\rho$ in a…

Modern risk modelling approaches deal with vectors of multiple components. The components could be, for example, returns of financial instruments or losses within an insurance portfolio concerning different lines of business. One of the…

The tail of the distribution of a sum of a random number of independent and identically distributed nonnegative random variables depends on the tails of the number of terms and of the terms themselves. This situation is of interest in the…

In this paper, we compute multivariate tail risk probabilities where the marginal risks are heavy-tailed and the dependence structure is a Gaussian copula. The marginal heavy-tailed risks are modeled using regular variation which leads to a…

We extend the Kulkarni class of multivariate phase--type distributions in a natural time--fractional way to construct a new class of multivariate distributions with heavy-tailed Mittag-Leffler(ML)-distributed marginals. The approach relies…

We study the empirical version of halfspace depths with the objective of establishing a connection between the rates of convergence and the tail behaviour of the corresponding underlying distributions. The intricate interplay between the…

This article is devoted to the study of tail index estimation based on i.i.d. multivariate observations, drawn from a standard heavy-tailed distribution, i.e. of which 1-d Pareto-like marginals share the same tail index. A multivariate…

We present a strategy to study QCD non-perturbatively on the lattice at very high temperatures. This strategy exploits a non-perturbative, finite-volume, definition of the strong coupling constant to renormalize the theory. As a first…

Using a character expansion method, we calculate exactly the eigenvalue density of random matrices of the form M^\dagger M where M is a complex matrix drawn from a normalized distribution P(M) ~ exp(-\Tr(A M B M^\dagger) with A and B…

In this paper we consider the semi-parametric estimation of extreme quantiles of a right heavy-tail model. We propose a new Log Probability Weighted Moment estimator for extreme quantiles, which is obtained from the estimators of the shape…

The q-Gaussians are a class of stable distributions which are present in many scientific fields, and that behave as heavy tailed distributions for an especific range of q values. The identification of these values, which are used in the…

We discuss random matrix models for the spontaneous breaking of both chiral and color symmetries at zero chemical potential and finite temperature. Exploring different Lorentz and gauge symmetric color structures of the random matrix…

Consider the linear nonhomogeneous fixed point equation R =_d sum_{i=1}^N C_i R_i + Q, where (Q,N,C_1,...,C_N) is a random vector with N in{0,1,2,3,...}U{infty}, {C_i}_{i=1}^N >= 0, P(|Q|>0) > 0, and {R_i}_{i=1}^N is a sequence of i.i.d.…

We propose a novel random matrix model that describes the QCD Kondo phase. The model correctly implements both the chiral symmetry of light quarks and the SU(2) spin symmetry of heavy quarks. We analytically take the large-N limit with N…

We present an overview of possible reasons for the appearance of heavy-tailed distributions in applications to the natural sciences. These distributions include the laws of Pareto, Lotka, and some new ones. The reasons are illustrated using…

We review applications of random matrix theory to QCD at nonzero temperature and chemical potential. The chiral phase transition of QCD and QCD-like theories is discussed in terms of eigenvalues of the Dirac operator. We show that for QCD…

Random Matrix Theory (RMT) has elaborated successful predictions for Dirac spectra in field theoretical models. However, a generic assumption by RMT has been a non-vanishing chiral condensate $\Sigma$ in the chiral limit. Here we consider…

We present an analytic method for calculating spectral densities of empirical covariance matrices for correlated data. In this approach the data is represented as a rectangular random matrix whose columns correspond to sampled states of the…

Let (X_{jk})_{j,k>=1} be i.i.d. complex random variables such that |X_{jk}| is in the domain of attraction of an alpha-stable law, with 0< alpha <2. Our main result is a heavy tailed counterpart of Girko's circular law. Namely, under some…