Related papers: Block-modified Wishart matrices: the easy case
It is shown that a Wishart matrix of standard complex normal random variables is asymptotically freely independent of an independent random matrix, under minimal conditions, in two different sense of asymptotic free independence.
There is a standard way to define two symplectic (hamiltonian) structures, the first and second Gelfand-Dikii brackets, on the space of ordinary linear differential operators of order $m$, $L = -d^m + U_1 d^{m-1} + U_2 d^{m-2} + \ldots +…
Wishart random matrices with a sparse or diluted structure are ubiquitous in the processing of large datasets, with applications in physics, biology and economy. In this work we develop a theory for the eigenvalue fluctuations of diluted…
The statistics of gaps between quantum energy levels is a hallmark criterion in quantum chaos and quantum integrability studies. The relevant distributions corresponding to exactly integrable vs. fully chaotic systems are universal and…
The complex Wishart ensemble is the statistical ensemble of $M \times N$ complex random matrices with $M \geq N$ such that the real and imaginary parts of each element are given by independent standard normal variables. The Marcenko--Pastur…
The Wishart model for real symmetric correlation matrices is defined as $\mathsf{W}=\mathsf{AA}^{t}$, where matrix $\mathsf{A}$ is usually a rectangular Gaussian random matrix and $\mathsf{A}^{t}$ is the transpose of $\mathsf{A}$.…
The KP hierarchy is hamiltonian relative to a one-parameter family of Poisson structures obtained from a generalized Adler map in the space of formal pseudodifferential symbols with noninteger powers. The resulting $\W$-algebra is a…
These expository notes are centered around the circular law theorem, which states that the empirical spectral distribution of a nxn random matrix with i.i.d. entries of variance 1/n tends to the uniform law on the unit disc of the complex…
We investigate parameter identifiability of spectral distributions of random matrices. In particular, we treat compound Wishart type and signal-plus-noise type. We show that each model is identifiable up to some kind of rotation of…
The double scaling limit of a new class of the multi-matrix models proposed in \cite{MMM91}, which possess the $W$-symmetry at the discrete level, is investigated in details. These models are demonstrated to fall into the same universality…
We construct a diffusive matrix model for the $\beta$-Wishart (or Laguerre) ensemble for general continuous $\beta\in [0,2]$, which preserves invariance under the orthogonal/unitary group transformation. Scaling the Dyson index $\beta$ with…
According to the Weinstein splitting theorem, any Poisson manifold is locally, near any given point, a product of a symplectic manifold with another Poisson manifold whose Poisson structure vanishes at the point. Similar splitting results…
Using Beck and Cohen's superstatistics, we introduce in a systematic way a family of generalised Wishart-Laguerre ensembles of random matrices with Dyson index $\beta$ = 1,2, and 4. The entries of the data matrix are Gaussian random…
In this paper we study the finitely generated algebras underlying $W$ algebras. These so called 'finite $W$ algebras' are constructed as Poisson reductions of Kirillov Poisson structures on simple Lie algebras. The inequivalent reductions…
The constrained Modified KP hierarchy is considered from the viewpoint of modification. It is shown that its second Poisson bracket, which has a rather complicated form, is associated to a vastly simpler bracket via Miura-type map. The…
It is known that a number of natural graph problems which are FPT parameterized by treewidth become W-hard when parameterized by clique-width. It is therefore desirable to find a different structural graph parameter which is as general as…
We construct a basis for a modified quantum group of finite type, extending the PBW bases of positive and negative halves of a quantum group. Generalizing Lusztig's classic results on PBW bases, we show that this basis is orthogonal with…
A partial matrix over a field $\mathbb{F}$ is a matrix whose entries are either an element of $\mathbb{F}$ or an indeterminate and with each indeterminate only appearing once. A completion is an assignment of values in $\mathbb{F}$ to all…
The problem considered in this paper is to find when the non-central Wishart distribution, defined on the cone $\bar{\mathcal{P}_d}$ of semi positive definite matrices of order $d$ and with a real valued shape parameter, exists. We reduce…
This paper focuses on the non-asymptotic concentration of the heteroskedastic Wishart-type matrices. Suppose $Z$ is a $p_1$-by-$p_2$ random matrix and $Z_{ij} \sim N(0,\sigma_{ij}^2)$ independently, we prove the expected spectral norm of…