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One of the major themes of random matrix theory is that many asymptotic properties of traditionally studied distributions of random matrices are universal. We probe the edges of universality by studying the spectral properties of random…
The asymptotic behaviour of a generalised P\'olya--Eggenberger urn is well--known to depend on the spectrum of its replacement matrix: If its dominant eigenvalue $r$ is simple and no other eigenvalue is `large' in the sense that its real…
For random matrix ensembles with non-gaussian matrix elements that may exhibit some correlations, it is shown that centered traces of polynomials in the matrix converge in distribution to a Gaussian process whose covariance matrix is…
We study the fluctuations that are predicted in the autocorrelation function of an energy eigenstate of a chaotic, two-dimensional billiard by the conjecture (due to Berry) that the eigenfunction is a gaussian random variable. We find an…
In the case where the dimension of the data grows at the same rate as the sample size we prove a central limit theorem for the difference of a linear spectral statistic of the sample covariance and a linear spectral statistic of the matrix…
We introduce a method for describing eigenvalue distributions of correlation matrices from multidimensional time series. Using our newly developed matrix H theory, we improve the description of eigenvalue spectra for empirical correlation…
Products of random $2\times 2$ matrices exhibit Gaussian fluctuations around almost surely convergent Lyapunov exponents. In this paper, the distribution of the random matrices is supported by a small neighborhood of order $\lambda>0$ of…
We consider large-dimensional Hermitian or symmetric random matrices of the form $W=M+\vartheta V$ where $M$ is a Wigner matrix and $V$ is a real diagonal matrix whose entries are independent of $M$. For a large class of diagonal matrices…
We show that the fluctuations of the largest eigenvalue of any generalized Wigner matrix $H$ converge to the Tracy-Widom laws at a rate nearly $O(N^{-1/3})$, as the matrix dimension $N$ tends to infinity. We allow the variances of the…
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…
In this note, we prove Gaussian field convergence of fluctuations of eigenvalues of random normal matrices in the interior of a quantum droplet.
Fluctuation geometry was recently proposed as a counterpart approach of Riemannian geometry of inference theory. This theory describes the geometric features of the statistical manifold $\mathcal{M}$ of random events that are described by a…
This work is devoted to the asymptotic behavior of eigenvalues of an elliptic operator with rapidly oscillating random coefficients on a bounded domain with Dirichlet boundary conditions. A sharp convergence rate is obtained for isolated…
Considering a determinantal point process on the real line, we establish a connection between the sine-kernel asymptotics for the correlation kernel and the CLT for mesoscopic linear statistics. This implies universality of mesoscopic…
Web graphs form a family of planar directed graphs with boundary that can be used to model quantum $\mathfrak{sl}_n$-invariant vectors. Standard Young tableaux on an $n \times k$ rectangle naturally index a basis for $\mathfrak{sl}_n$ web…
We developed a microscopic approach to calculate the sample-to-sample fluctuations of transmission distribution in disordered conductors. This bridges between Green's function and random matrix theories of quantum transport. The results…
This paper is concerned with the limiting spectral behaviors of large dimensional Kendall's rank correlation matrices generated by samples with independent and continuous components. We do not require the components to be identically…
We consider the adjacency matrix $A$ of a large random graph and study fluctuations of the function $f_n(z,u)=\frac{1}{n}\sum_{k=1}^n\exp\{-uG_{kk}(z)\}$ with $G(z)=(z-iA)^{-1}$. We prove that the moments of fluctuations normalized by…
As an important topic in Mathematical Physics and statistics, random matrices theory has found uses in many aspects of modern physics and multivariate analysis. This paper is to investigate the Gaussian fluctuations for linear spectral…
We consider the fluctuations of the largest eigenvalue of sparse random matrices, the class of random matrices that includes the normalized adjacency matrices of the Erd\H{o}s-R\'enyi graph $G(N, p)$. We show that the fluctuations of the…