Related papers: Local law for random Gram matrices

We study the dependence of the spectral density of the covariance matrix ensemble on the power spectrum of the underlying multivariate signal. The white noise signal leads to the celebrated Marchenko-Pastur formula. We demonstrate results…

Consider a sample of a centered random vector with unit covariance matrix. We show that under certain regularity assumptions, and up to a natural scaling, the smallest and the largest eigenvalues of the empirical covariance matrix converge,…

In this paper, we investigate the limiting spectral distribution of the sample correlation matrix, whose sample vectors are $k$-fold tensor products of $n$-dimensional vectors with i.i.d. entries. We focus on the limiting regime $n,k \to…

We consider real symmetric or complex hermitian random matrices with correlated entries. We prove local laws for the resolvent and universality of the local eigenvalue statistics in the bulk of the spectrum. The correlations have fast decay…

This paper studies the extreme gaps between eigenvalues of random matrices. We give the joint limiting law of the smallest gaps for Haar-distributed unitary matrices and matrices from the Gaussian unitary ensemble. In particular, the kth…

The apparent disconnection between the microscopic and the macroscopic is a major issue in the understanding of complex systems. To this extend, we study the convergence of repeatedly applying local rules on a network, and touch on the…

Statistical properties of non--symmetric real random matrices of size $M$, obtained as truncations of random orthogonal $N\times N$ matrices are investigated. We derive an exact formula for the density of eigenvalues which consists of two…

Let $X_N$ be a $N \times N$ real Wishart random matrix with aspect ratio $M/N$. The limit eigenvalue distribution of $X_N$ is the Marchenko-Pastur law with parameter $c = \lim_N M/N$. The limit moments $\{m_n\}_n$ are given by $m_n =…

Motivated by current interest in understanding statistical properties of random landscapes in high-dimensional spaces, we consider a model of the landscape in $\mathbb{R}^N$ obtained by superimposing $M>N$ plane waves of random wavevectors…

Consider a $p$-dimensional population ${\mathbf x} \in\mathbb{R}^p$ with iid coordinates in the domain of attraction of a stable distribution with index $\alpha\in (0,2)$. Since the variance of ${\mathbf x}$ is infinite, the sample…

The density of complex eigenvalues of random asymmetric $N\times N$ matrices is found in the large-$N$ limit. The matrices are of the form $H_0+A$ where $A$ is a matrix of $N^2$ independent, identically distributed random variables with…

Let $\mathbf{x}$ be a random vector with $n$ i.i.d.\ real-valued components in the domain attraction of an $\alpha$-stable law with $\alpha\in(0,2)$, and let $\mathbf{y}=\mathbf{x}/\|\mathbf{x}\|_2$ be the associated self-normalized vector…

For two large matrices ${\mathbf X}$ and ${\mathbf Y}$ with Gaussian i.i.d.\ entries and dimensions $T\times N_X$ and $T\times N_Y$, respectively, we derive the probability distribution of the singular values of $\mathbf{X}^T \mathbf{Y}$ in…

We introduce a one-parameter deformation of the Wishart-Laguerre or chiral ensembles of positive definite random matrices with Dyson index beta=1,2 and 4. Our generalised model has a fat-tailed distribution while preserving the invariance…

The wave propagation in random medium plays a critical role in optics and quantum physics. Multiple scattering of coherent wave in a random medium determines the transport procedure. Brownian motions of the scatterers perturb each…

A famous result going back to Eric Kostlan states that the moduli of the eigenvalues of random normal matrices with radial potential are independent yet non identically distributed. This phenomenon is at the heart of the asymptotic analysis…

Random matrix ensembles are introduced that respect the local tensor structure of Hamiltonians describing a chain of $n$ distinguishable spin-half particles with nearest-neighbour interactions. We prove a central limit theorem for the…

We consider the ensemble of adjacency matrices of Erd\H{o}s-R\'{e}nyi random graphs, that is, graphs on $N$ vertices where every edge is chosen independently and with probability $p\equiv p(N)$. We rescale the matrix so that its bulk…

We prove that Kendall's Rank correlation matrix converges to the Mar\v{c}enko-Pastur law, under the assumption that the observations are i.i.d random vectors $X_1$, $\dots$, $X_n$ with components that are independent and absolutely…

We consider the products $G_n = A_n \cdots A_1$ of independent and identical distributed nonnegative $d \times d$ matrices $(A_i)_{i \geq 1}$. For any starting point $x \in \mathbb{R}_+^d$ with unit norm, we establish the convergence to a…