Related papers: Reforming the Wishart characteristic function
In this paper, we obtain a property of the expectation of the inverse of compound Wishart matrices which results from their orthogonal invariance. Using this property as well as results from random matrix theory (RMT), we derive the…
The joint distribution of two off-diagonal Wishart matrix elements was useful in recent work on geometric probability [Finch 2010]. Not finding such formulas in the literature, we report these here.
Recently S. Gerhold and R. Garra-F. Polito independently introduced a new function related to the special functions of Mittag-Leffler family. This function is a generalization of the function studied by E. Le Roy in the period 1895-1905 in…
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.
Recently Johansson and Johnstone proved that the distribution of the (properly rescaled) largest principal component of the complex (real) Wishart matrix $ X^* \* X (X^t \*X) $ converges to the Tracy-Widom law as $ n, p $ (the dimensions of…
This is the first part of a paper that studies the phase transition in the asymptotic limit of the rank 1 real Wishart spiked model. In this paper, we consider $N$-dimensional real Wishart matrices $S$ in the class…
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 present some new results on the joint distribution of an arbitrary subset of the ordered eigenvalues of complex Wishart, double Wishart, and Gaussian hermitian random matrices of finite dimensions, using a tensor pseudo-determinant…
This paper describes an algorithm which computes the characteristic polynomial of a matrix over a field within the same asymptotic complexity, up to constant factors, as the multiplication of two square matrices. Previously, this was only…
In this paper we derive a representation of an arbitrary real matrix M as the difference of a real matrix A and the transpose of its inverse. This expression may prove useful for progressing beyond known results for which the appearance of…
The "theoretical limit of time-frequency resolution in Fourier analysis" is thought to originate in certain mathematical and/or physical limitations. This, however, is not true. The actual origin arises from the numerical (technical) method…
A recurring task in particle physics and statistics is to compute the complex critical points of a product of powers of affine-linear functions. The logarithmic discriminant characterizes exponents for which such a function has a degenerate…
We propose a nonlinear, wavelet based signal representation that is translation invariant and robust to both additive noise and random dilations. Motivated by the multi-reference alignment problem and generalizations thereof, we analyze the…
In this article, we obtain an equation for the high-dimensional limit measure of eigenvalues of generalized Wishart processes, and the results is extended to random particle systems that generalize SDEs of eigenvalues. We also introduce a…
The prediction of the variance-covariance matrix of the multivariate normal distribution is important in the multivariate analysis. We investigated Bayesian predictive distributions for Wishart distributions under the Kullback-Leibler…
We study the eigenvalue behaviour of large complex correlated Wishart matrices near an interior point of the limiting spectrum where the density vanishes (cusp point), and refine the existing results at the hard edge as well. More…
In this paper, we present a dual representation of the influence functions, whose computational complexity scales with dataset size rather than model size. Both analytically and experimentally, we show that this representation can be an…
In this paper, the classical problem of the probabilistic characterization of a random variable is re-examined. A random variable is usually described by the probability density function (PDF) or by its Fourier transform, namely the…
A direct procedure for determining the propagator associated with a quantum mechanical problem was given by the Path Integration Procedure of Feynman. The Green function, which is the Fourier Transform with respect to the time variable of…
In this note, we prove that the Fourier-Laplace transform of the typical function (i.e., generic in the sense of Baire category theorem) in the Schwartz class of the half-line, being analytic in the lower half of the complex plane, has…