Related papers: Edge universality of separable covariance matrices

Let $U_m$ be an $m \times m$ Haar unitary matrix and $U_{[m,n]}$ be its $n \times n$ truncation. In this paper the large deviation is proven for the empirical eigenvalue density of $U_{[m,n]}$ as $m/n \to \lambda $ and $n \to \infty$. The…

We study the singular values (and Lyapunov exponents) for products of $N$ independent $n\times n$ random matrices with i.i.d. entries. Such matrix products have been extensively analyzed using free probability, which applies when $n\to…

Under certain conditions on k we calculate the limit distribution of the k:th largest eigenvalue, x_k, of the Gaussian Unitary Ensemble (GUE). More specifically, if n is the dimension of a random matrix from the GUE and k is such that both…

Let G be a random subgraph of the n-cube where each edge appears randomly and independently with probability p. We prove that the largest eigenvalue of the adjacency matrix of G is almost surely \lambda_1(G)= (1+o(1))…

This paper is concerned with the asymptotic distribution of the largest eigenvalues for some nonlinear random matrix ensemble stemming from the study of neural networks. More precisely we consider $M= \frac{1}{m} YY^\top$ with $Y=f(WX)$…

We consider unitary random matrix ensembles Z_{n,s,t}^{-1}e^{-n tr V_{s,t}(M)}dM on the space of Hermitian n x n matrices M, where the confining potential V_{s,t} is such that the limiting mean density of eigenvalues (as n\to\infty and…

This paper gives a rigorous proof of a conjectured statistical self-similarity property of the eigenvalues random matrices from the Circular Unitary Ensemble. We consider on the one hand the eigenvalues of an $n \times n$ CUE matrix, and on…

We consider an ensemble of non-Hermitian matrices with independent identically distributed real entries that have finite moments. We show that its $k$-point correlation function in the bulk away from the real line converges to a universal…

The local spectral statistics of random matrices forms distinct universality classes, strongly depending on the position in the spectrum. Surprisingly, the spacing between consecutive eigenvalues at the spectral edges has received little…

We establish large deviations estimates for the largest eigenvalue of Wigner matrices with sub-Gaussian entries. Under technical assumptions, we show that the large deviation behavior of the largest eigenvalue is universal for small…

Suppose that $\mathbf X_n=(x_{jk})$ is $N\times n$ whose elements are independent real variables with mean zero, variance 1 and the fourth moment equal to three. The separable sample covariance matrix is defined as $\mathbf{B}_n =…

In this paper we obtain a Bernstein type inequality for the sum of self-adjoint centered and geometrically absolutely regular random matrices with bounded largest eigenvalue. This inequality can be viewed as an extension to the matrix…

In this short note, we extend the celebrated results of Tao and Vu, and Krishnapur on the universality of empirical spectral distributions to a wide class of inhomogeneous complex random matrices, by showing that a technical and…

We consider $N\times N$ symmetric or hermitian random matrices with independent, identically distributed entries where the probability distribution for each matrix element is given by a measure $\nu$ with a subexponential decay. We prove…

We continue the study of the Hermitian random matrix ensemble with external source $\frac{1}{Z_n} e^{-n \Tr({1/2}M^2 -AM)} dM$ where $A$ has two distinct eigenvalues $\pm a$ of equal multiplicity. This model exhibits a phase transition for…

We studied universality of Wishart ensembles whose covariance matrix has 2 distinct eigenvalues and the number of each of these eigenvalue goes to infinity in the asymptotic limit. In this case, the limiting eigenvalue distribution can be…

After proper rescaling and under some technical assumptions, the smallest eigenvalue of a sample covariance matrix with aspect ratio bounded away from 1 converges to the Tracy--Widom distribution. This complements the results on the largest…

The circular law asserts that the empirical distribution of eigenvalues of appropriately normalized $n\times n$ matrix with i.i.d. entries converges to the uniform measure on the unit disc as the dimension $n$ grows to infinity. Consider an…

Complex eigenvalues of random matrices $J=\text{GUE }+ i\gamma \diag (1, 0, \ldots, 0)$ provide the simplest model for studying resonances in wave scattering from a quantum chaotic system via a single open channel. It is known that in the…

We analyze properties of non-hermitian matrices of size M constructed as square submatrices of unitary (orthogonal) random matrices of size N>M, distributed according to the Haar measure. In this way we define ensembles of random matrices…