Related papers: Sum rules and large deviations for spectral matrix…
We prove a large deviations principle for the empirical measures of a class of biorthogonal and multiple orthogonal polynomial ensembles that includes biorthogonal Laguerre, Jacobi and Hermite ensembles, the matrix model of Lueck, Sommers…
This work is in a stream initiated by a paper of Killip and Simon [Ann. of Math. (2003)]. Using methods of Functional Analysis and the classical Szeg\"o Theorem we prove sum rule identities in a very general form. Then, we apply the result…
We study the limiting spectral measure of large symmetric random matrices of linear algebraic structure. For Hankel and Toeplitz matrices generated by i.i.d. random variables $\{X_k\}$ of unit variance, and for symmetric Markov matrices…
We derive the universality principle for empirical spectral distributions of sample covariance matrices and their Stieltjes transforms. This principle states the following. Suppose quadratic forms of random vectors $y_p$ in $R^p$ satisfy a…
Consider $N\times N$ Hermitian or symmetric random matrices $H$ where the distribution of the $(i,j)$ matrix element is given by a probability measure $\nu_{ij}$ with a subexponential decay. Let $\sigma_{ij}^2$ be the variance for the…
We present large deviations principles for the moments of the empirical spectral measure of Wigner matrices and empirical measure of $\beta$-ensembles in three cases : the case of Wigner matrices without Gaussian tails, that is Wigner…
In this paper we establish the limit of the empirical spectral distribution of quaternion sample covariance matrices. Suppose $\mathbf X_n = ({x_{jk}^{(n)}})_{p\times n}$ is a quaternion random matrix. For each $n$, the entries…
This is a pedagogical exposition of the large deviation approach to sum rules pioneered by Gamboa, Nagel and Rouault. We'll explain how to use their ideas to recover the Szeg}o and Killip{ Simon Theorems. The primary audience is spectral…
The aim of this note is to announce some results about the probabilistic and deterministic asymptotic properties of linear groups. The first one is the analogue, for norms of random matrix products, of the classical theorem of Cramer on…
In this paper, we consider the addition of two matrices in generic position, namely A + U BU * , where U is drawn under the Haar measure on the unitary or the orthogonal group. We show that, under mild conditions on the empirical spectral…
In this paper, we show limit theorems for the weighted spectral measure of the Laguerre ensemble under a nonstandard scaling, when the parameter grows faster than the matrix size. For this parameter scaling, the limit behavior is similar to…
The aim of this paper is to give a precise asymptotic description of some eigenvalue statistics stemming from random matrix theory. More precisely, we consider random determinants of the GUE, Laguerre, Uniform Gram and Jacobi beta ensembles…
We consider properties of determinants of some random symmetric matrices issued from multivariate statistics: Wishart/Laguerre ensemble (sample covariance matrices), Uniform Gram ensemble (sample correlation matrices) and Jacobi ensemble…
Large random matrices appear in different fields of mathematics and physics such as combinatorics, probability theory, statistics, operator theory, number theory, quantum field theory, string theory etc... In the last ten years, they…
We study high-dimensional sample covariance matrices based on independent random vectors with missing coordinates. The presence of missing observations is common in modern applications such as climate studies or gene expression…
Motivated by recent results in random matrix theory we will study the distributions arising from products of complex Gaussian random matrices and truncations of Haar distributed unitary matrices. We introduce an appropriately general class…
In this paper, we study the Jacobi frame approximation with equispaced samples and derive an error estimation. We observe numerically that the approximation accuracy gradually decreases as the extended domain parameter $\gamma$ increases in…
We consider random Young diagrams with respect to the measure induced by the decomposition of the $p$-th exterior power of $\mathbb{C}^{n}\otimes \mathbb{C}^{k}$ into irreducible representations of $GL_{n}\times GL_{k}$. We demonstrate that…
We develop a method to compute the moments of the eigenvalue densities of matrices in the Gaussian, Laguerre and Jacobi ensembles for all the symmetry classes beta = 1,2, 4 and finite matrix dimension n. The moments of the Jacobi ensembles…
Consider Ginibre's ensemble of $N \times N$ non-Hermitian random matrices in which all entries are independent complex Gaussians of mean zero and variance $\frac{1}{N}$. As $N \uparrow \infty$ the normalized counting measure of the…