Related papers: Local semicircle law under fourth moment condition

Let the dimension $N$ of data and the sample size $T$ tend to $\infty$ with $N/T \to c > 0$. The spectral properties of a sample correlation matrix $\mathbf{C}$ and a sample covariance matrix $\mathbf{S}$ are asymptotically equal whenever…

We study the eigenvalue of the Wigner random matrix, which is created from a time series with temporal correlation. We observe the deformation of the semi-circle law which is similar to the eigenvalue distribution of the Wigner-L\`{e}vy…

We study the distribution of the minimum spacing between eigenvalues of a random n by n unitary matrix. The minimum spacing scales as $n^{-4/3}$, not $n^{-2}$ as would be the case for n independent points on the unit circle, illustrating…

Consider an m by N matrix Phi with the Restricted Isometry Property of order k and level delta, that is, the norm of any k-sparse vector in R^N is preserved to within a multiplicative factor of 1 +- delta under application of Phi. We show…

We study the droplet that results from conditioning the subcritical Fortuin-Kasteleyn planar random cluster model on the presence of an open circuit Gamma_0 encircling the origin and enclosing an area of at least (or exactly) n^2. We…

We study the spectra of MANOVA estimators for variance component covariance matrices in multivariate random effects models. When the dimensionality of the observations is large and comparable to the number of realizations of each random…

Owing to exhibiting phase transitions, we investigate the local convergence near a stationary distribution for distribution dependent stochastic differential equations. By linearizing the nonlinear Markov semigroup associated with the…

For a set $X$ of $N$ points in $\mathbb{R}^D$, the Johnson-Lindenstrauss lemma provides random linear maps that approximately preserve all pairwise distances in $X$ -- up to multiplicative error $(1\pm \epsilon)$ with high probability --…

We consider a real random walk S_n = X_1 + ... + X_n attracted (without centering) to the normal law: this means that for a suitable norming sequence a_n we have the weak convergence S_n / a_n --> f(x) dx, where f(x) is the standard normal…

Spectral properties of random matrices play an important role in statistics, machine learning, communications, and many other areas. Engaging results regarding the convergence of the empirical spectral distribution (ESD) and the…

Normalized eigenvalue counting measure of the sum of two Hermitian (or real symmetric) matrices $A_{n}$ and $B_{n}$ rotated independently with respect to each other by the random unitary (or orthogonal) Haar distributed matrix $U_{n}$ (i.e.…

We study the normalized trace $g_n(z)=n^{-1} \mbox{tr} \, (H-zI)^{-1}$ of the resolvent of $n\times n$ real symmetric matrices $H=\big[(1+\delta_{jk})W_{jk}/\sqrt n\big]_{j,k=1}^n$ assuming that their entries are independent but not…

We introduce a random matrix model where the entries are dependent across both rows and columns. More precisely, we investigate matrices of the form $\X=(X_{(i-1)n+t})_{it}\in\R^{p\times n}$ derived from a linear process $X_t=\sum_j c_j…

Let $x_1, \dots, x_n$ be $n$ independent and identically distributed random variables with mean zero, unit variance, and finite moments of all remaining orders. We study the random polynomial $p_n$ having roots at $x_1, \dots, x_n$. We…

Motivated by the omnipresence of extreme value distributions in limit theorems involving extremes of random processes, we adapt Stein's method to include these laws as possible target distributions. We do so by using the generator approach…

In this paper, we shall investigate the almost sure limits of the largest and smallest eigenvalues of a quaternion sample covariance matrix. Suppose that $\mathbf X_n$ is a $p\times n$ matrix whose elements are independent quaternion…

We obtain nonasymptotic bounds on the spectral norm of random matrices with independent entries that improve significantly on earlier results. If $X$ is the $n\times n$ symmetric matrix with $X_{ij}\sim N(0,b_{ij}^2)$, we show that…

We study Schr\"odinger operators on compact finite metric graphs subject to $\delta'$-coupling conditions. Based on a novel modified local Weyl law, we derive an explicit expression for the limiting mean eigenvalue distance of two different…

We investigate the asymptotics of eigenvalues of sample covariance matrices associated with a class of non-independent Gaussian processes (separable and temporally stationary) under the Kolmogorov asymptotic regime. The limiting spectral…

We extend Stein's celebrated Wasserstein bound for normal approximation via exchangeable pairs to the multi-dimensional setting. As an intermediate step, we exploit the symmetry of exchangeable pairs to obtain an error bound for smooth test…