Related papers: Fluctuations for linear eigenvalue statistics of s…

We study the expectation of linear eigenvalue statistics of matrix models with any $\beta>0$, assuming that the potential $V$ is a real analytic function and that the corresponding equilibrium measure has a one-interval support. We obtain…

We consider the eigenvalues of sample covariance matrices of the form $\mathcal{Q}=(\Sigma^{1/2}X)(\Sigma^{1/2}X)^*$. The sample $X$ is an $M\times N$ rectangular random matrix with real independent entries and the population covariance…

We study the fluctuations of the largest eigenvalue $\lambda_{\max}$ of $N \times N$ random matrices in the limit of large $N$. The main focus is on Gaussian $\beta$-ensembles, including in particular the Gaussian orthogonal ($\beta=1$),…

In this paper, we use a new approach to prove that the largest eigenvalue of the sample covariance matrix of a normally distributed vector is bigger than the true largest eigenvalue with probability 1 when the dimension is infinite. We…

We investigate the fluctuations around the mean of the Stieltjes transform of the empirical spectral distribution of any selfadjoint noncommutative polynomial in a Wigner matrix and a deterministic diagonal matrix. We obtain the convergence…

We present a simple scheme to evaluate linear response functions including quantum fluctuation corrections on top of the Gutzwiller approximation. The method is derived for a generic multi-band lattice Hamiltonian without any assumption…

Let $A$ be a matrix whose columns $X_1,\dots, X_N$ are independent random vectors in $\mathbb{R}^n$. Assume that the tails of the 1-dimensional marginals decay as $\mathbb{P}(|\langle X_i, a\rangle|\geq t)\leq t^{-p}$ uniformly in $a\in…

The salient properties of large empirical covariance and correlation matrices are studied for three datasets of size 54, 55 and 330. The covariance is defined as a simple cross product of the returns, with weights that decay logarithmically…

This work considers the problem of estimating the distance between two covariance matrices directly from the data. Particularly, we are interested in the family of distances that can be expressed as sums of traces of functions that are…

We study fluctuations of the matrix coefficients for the quantized cat map. We consider the sum of matrix coefficients corresponding to eigenstates whose eigenphases lie in a randomly chosen window, assuming that the length of the window…

In this paper, we show that the diagonal of a high-dimensional sample covariance matrix stemming from $n$ independent observations of a $p$-dimensional time series with finite fourth moments can be approximated in spectral norm by the…

We consider the fluctuations of the number of eigenvalues of $n\times n$ random normal matrices depending on a potential $Q$ in a given set $A$. These eigenvalues are known to form a determinantal point process, and are known to accumulate…

Let $\bm{x}_1,\cdots,\bm{x}_n$ be a random sample of size $n$ from a $p$-dimensional population distribution, where $p=p(n)\rightarrow\infty$. Consider a symmetric matrix $W=X^\top X$ with parameters $n$ and $p$, where…

We study eigenvectors in the deformed Gaussian unitary ensemble of random matrices $H=W\tilde{H}W$, where $\tilde{H}$ is a random matrix from Gaussian unitary ensemble and $W$ is a deterministic diagonal matrix with positive entries. Using…

We study the limiting behavior of the $k$-th eigenvalue $x_k$ of unitary invariant ensembles with Freud-type and uniform convex potentials. As both $k$ and $n-k$ tend to infinity, we obtain Gaussian fluctuations for $x_k$ in the bulk and…

We prove a local central limit theorem for fluctuations of linear statistics of smooth enough test functions under the canonical Gibbs measure of two-dimensional Coulomb gases at any positive temperature. The proof relies on the existing…

Consider a linear elliptic partial differential equation in divergence form with a random coefficient field. The solution operator displays fluctuations around its expectation. The recently developed pathwise theory of fluctuations in…

We consider matrices formed by a random $N\times N$ matrix drawn from the Gaussian Orthogonal Ensemble (or Gaussian Unitary Ensemble) plus a rank-one perturbation of strength $\theta$, and focus on the largest eigenvalue, $x$, and the…

The structure of very complicated irregular "microscopic" (local) entropy fluctuations around a big separated "macroscopic" (global) fluctuation in the statistical equilibrium was studied in numerical experiments on a simple 2--freedom…

In this paper we discuss general tridiagonal matrix models which are natural extensions of the ones given by Dumitriu and Edelman. We prove here the convergence of the distribution of the eigenvalues and compute the limiting distributions…