Related papers: On Weighted Random Band-Matrices with Dependences
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…
We compute the spectral statistics of the sum H of two independent complex Wishart matrices, each of which is correlated with a different covariance matrix. Random matrix theory enjoys many applications including sums and products of random…
This paper is concerned with the interplay between statistical asymmetry and spectral methods. Suppose we are interested in estimating a rank-1 and symmetric matrix $\mathbf{M}^{\star}\in \mathbb{R}^{n\times n}$, yet only a randomly…
We calculate the probability to find exactly $n$ eigenvalues in a spectral interval of a large random $N \times N$ matrix when this interval contains $s \ll N$ eigenvalues on average. The calculations exploit an analogy to the problem of…
A powerful method for calculating the eigenvalues of a Hamiltonian operator consists of converting the energy eigenvalue equation into a matrix equation by means of an appropriate basis set of functions. The convergence of the method can be…
We study the spectral measure of large Euclidean random matrices. The entries of these matrices are determined by the relative position of $n$ random points in a compact set $\Omega_n$ of $\R^d$. Under various assumptions we establish the…
We analytically calculate the average value of i-th largest Schmidt coefficient for random pure quantum states. Schmidt coefficients, i.e., eigenvalues of the reduced density matrix, are expressed in the limit of large Hilbert space size…
We consider ensembles of real symmetric band matrices with entries drawn from an infinite sequence of exchangeable random variables, as far as the symmetry of the matrices permits. In general the entries of the upper triangular parts of…
We describe the distribution of the first finite number of eigenvalues in a newly-forming band of the spectrum of the random Hermitean matrix model. The method is rigorously based on the Riemann-Hilbert analysis of the corresponding…
We present a simple, accurate method for solving consistent, rank-deficient linear systems, with or without addi- tional rank-completing constraints. Such problems arise in a variety of applications, such as the computation of the…
We study the asymptotic distribution of the eigenvalues of random Hermitian periodic band matrices, focusing on the spectral edges. The eigenvalues close to the edges converge in distribution to the Airy point process if (and only if) the…
In this work, we consider the weighted difference of two independent complex Wishart matrices and derive the joint probability density function of the corresponding eigenvalues in a finite-dimension scenario using two distinct approaches.…
We derive the distribution of the eigenvalues of a large sample covariance matrix when the data is dependent in time. More precisely, the dependence for each variable $i=1,...,p$ is modelled as a linear process…
We consider the empirical eigenvalue distribution of an $m\times m$ principal submatrix of an $n\times n$ random unitary matrix distributed according to Haar measure. For $n$ and $m$ large with $\frac{m}{n}=\alpha$, the empirical spectral…
We compute exact asymptotic of the statistical density of random matrices belonging to invariant random matrices ensemble (RMT) orthogonal, unitary and symplectic ensembles, where all its eigenvalues lie within the interval $[\sigma,…
We consider random matrices that have invariance properties under the action of unitary groups (either a left-right invariance, or a conjugacy invariance), and we give formulas for moments in terms of functions of eigenvalues. Our main tool…
What is the connection of random matrices with integrable systems? Is this connection really useful? Introducing apprpriate times in the distribution of the ensemble of matrices, one shows that the corresponding distribution of the…
In an absorptive system the Wigner reaction $K-$matrix (directly related to the impedance matrix in acoustic or electromagnetic wave scattering) is non-selfadjoint, hence its eigenvalues are complex. The most interesting regime arises when…
We analyze the properties of entangled random pure states of a quantum system partitioned into two smaller subsystems of dimensions $N$ and $M$. Framing the problem in terms of random matrices with a fixed-trace constraint, we establish,…
We introduce a new random matrix model called distance covariance matrix in this paper, whose normalized trace is equivalent to the distance covariance. We first derive a deterministic limit for the eigenvalue distribution of the distance…