Related papers: High-dimensional limits of eigenvalue distribution…

We prove the Central Limit Theorem for finite-dimensional vectors of linear eigenvalue statistics of submatrices of Wigner random matrices under the assumption that test functions are sufficiently smooth. We connect the asymptotic…

We study the joint limit distribution of the $k$ largest eigenvalues of a $p\times p$ sample covariance matrix $XX^\T$ based on a large $p\times n$ matrix $X$. The rows of $X$ are given by independent copies of a linear process,…

We present a generalization of the method of the local relaxation flow to establish the universality of local spectral statistics of a broad class of large random matrices. We show that the local distribution of the eigenvalues coincides…

We solve the largest sample eigenvalue distribution problem in the rank 1 spiked model of the quaternionic Wishart ensemble, which is the first case of a statistical generalization of the Laguerre symplectic ensemble (LSE) on the soft edge.…

We derive the loop equation for the 1-matrix model with generic difference-type measure for eigenvalues and develop a recursive algebraic framework for solving it to an arbitrary order in the coupling constant in and beyond the planar…

This paper is concerned with an initial and boundary value problem of the one-dimensional planar MHD equations for viscous, heat-conducting, compressible, ideal polytropic fluids with constant transport coefficients and large data. The…

We consider the asymptotic behavior of the eigenvalues of Toeplitz matrices with rational symbol as the size of the matrix goes to infinity. Our main result is that the weak limit of the normalized eigenvalue counting measure is a…

We compute the limiting distributions of the largest eigenvalue of a complex Gaussian sample covariance matrix when both the number of samples and the number of variables in each sample become large. When all but finitely many, say $r$,…

We investigate the overlap matrix between the eigenvectors of a Wigner matrix $H_{N+K}$ of size $(N+K)\times(N+K)$ and those of its principal minor $H_N$ of size $N\times N$, for both the real symmetric ($\beta=1$) and complex Hermitian…

In this paper, we consider N-dimensional real Wishart matrices Y in the class $W_{\mathbb{R}}(\Sigma,M)$ in which all but one eigenvalues of $\Sigma$ is 1. Let the non-trivial eigenvalue of $\Sigma$ be $1+\tau$, then as N,…

We show that the derivative of the logarithm of the average characteristic polynomial of a diffusing Wishart matrix obeys an exact partial differential equation valid for an arbitrary value of N, the size of the matrix. In the large N…

We derive the double scaling limit of eigenvalue correlations in the random matrix model at critical points and we relate the limiting correlation functions to a nonlinear hierarchy of ordinary differential equations.

We derive an exact formula for the stochastic evolution of the characteristic determinant of a class of deformed Wishart matrices following from a chiral random matrix model of QCD at finite chemical potential. In the WKB approximation, the…

In multivariate statistics, estimating the covariance matrix is essential for understanding the interdependence among variables. In high-dimensional settings, where the number of covariates increases with the sample size, it is well known…

In this paper, we analyze the large n-limit for random matrix with external source with three distinct eigenvalues. And we confine ourselves in the Hermite case and the three distinct eigenvalues are $-a,0,a$. For the case $a^2>3$, we…

Using the replica method, we compute the statistics of the top eigenpair of diluted covariance matrices of the form $\mathbf{J} = \mathbf{X}^T \mathbf{X}$, where $\mathbf{X}$ is a $N\times M$ sparse data matrix, in the limit of large $N,M$…

We study the principal components of covariance estimators in multivariate mixed-effects linear models. We show that, in high dimensions, the principal eigenvalues and eigenvectors may exhibit bias and aliasing effects that are not present…

We show in this note that the asymptotic spectral distribution, location and distribution of the largest eigenvalue of a large class of random density matrices coincide with that of Wishart-type random matrices using proper scaling. As an…

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…

In this paper we consider the product of a singular Wishart random matrix and a singular normal random vector. A very useful stochastic representation is derived for this product, using which the characteristic function of the product and…