Related papers: Exact Largest Eigenvalue Distribution for Doubly S…
We give the exact distribution of the average of n independent beta random variables weighted by the selected cuts of (0, 1) by the order statistics of a random sample of size n-1 from the uniform distribution U(0,1), for each n. A new…
It has been recently shown that if $X$ is an $n\times N$ matrix whose entries are i.i.d. standard complex Gaussian and $l_1$ is the largest eigenvalue of $X^*X$, there exist sequences $m_{n,N}$ and $s_{n,N}$ such that…
We derive exact analytic expressions for the distributions of eigenvalues and singular values for the product of an arbitrary number of independent rectangular Gaussian random matrices in the limit of large matrix dimensions. We show that…
Dirac operator eigenvalues split into two when subjected to two different external vector sources. In a specific finite-volume scaling regime of gauge theories with fermions, this problem can be mapped to a chiral Random Two-Matrix Theory.…
We compute statistical distributions of individual low-lying eigenvalues of random matrix ensembles interpolating chiral Gaussian symplectic and unitary ensembles. To this aim we use the Nystrom-type discretization of Fredholm Pfaffians and…
In this paper, we propose a new distribution with unitary support which can be characterized as a ratio of the type $W=X_1/(X_1+X_2)$, where $(X_1, X_2)^\top$ follows a bivariate extreme distribution with Fr\'echet margins, that is, $X_1$…
We study improved approximations to the distribution of the largest eigenvalue $\hat{\ell}$ of the sample covariance matrix of $n$ zero-mean Gaussian observations in dimension $p+1$. We assume that one population principal component has…
The scaled standard Wigner matrix (symmetric with mean zero, variance one i.i.d. entries), and its limiting eigenvalue distribution, namely the semi-circular distribution, has attracted much attention. The $2k$th moment of the limit equals…
Non-Hermitian random matrices with statistical spectral characteristics beyond the standard Ginibre ensembles have recently emerged in the description of dissipative quantum many-body systems as well as in non-ergodic wave transport in…
This paper is aimed at deriving the universality of the largest eigenvalue of a class of high-dimensional real or complex sample covariance matrices of the form $\mathcal{W}_N=\Sigma^{1/2}XX^*\Sigma ^{1/2}$. Here, $X=(x_{ij})_{M,N}$ is an…
We investigate random density matrices obtained by partial tracing larger random pure states. We show that there is a strong connection between these random density matrices and the Wishart ensemble of random matrix theory. We provide…
We investigate the universality of singular value and eigenvalue distributions of matrix valued functions of independent random matrices and apply these general results in several examples. In particular we determine the limit distribution…
We present differentially private algorithms for high-dimensional mean estimation. Previous private estimators on distributions over $\mathbb{R}^d$ suffer from a curse of dimensionality, as they require $\Omega(d^{1/2})$ samples to achieve…
We consider a square random matrix of size N of the form A + Y where A is deterministic and Y has iid entries with variance 1/N. Under mild assumptions, as N grows, the empirical distribution of the eigenvalues of A+Y converges weakly to a…
We consider the reduced density matrix $\rho_{A}^{(m)}$ of a bipartite system $AB$ of dimensionality $mn$ in a Gaussian ensemble of random, complex pure states of the composite system. For a given dimensionality $m$ of the subsystem $A$,…
We investigate the dynamic behavior of the stationary random process defined by a central complex Wishart (CW) matrix ${\bf{W}}(t)$ as it varies along a certain dimension $t$. We characterize the second-order joint cdf of the largest…
In this paper we perform an analytical and numerical study of Extreme Value distributions in discrete dynamical systems that have a singular measure. Using the block maxima approach described in Faranda et al. [2011] we show that,…
Beta Laguerre ensembles which are generalizations of Wishart ensembles and Laguerre ensembles can be realized as eigenvalues of certain random tridiagonal matrices. Analogous to the Wishart ($\beta=1$) case and the Laguerre ($\beta = 2$)…
A "mysterious" relation between the number variance and the variance of the $L$-th ordered eigenvalue, first suggested by French et al. [Ann. Phys. 113, 277 (1978)], is revisited and proven to be asymptotically exact for the $\beta=2$ Dyson…
Recent technological advances in many domains including both genomics and brain imaging have led to an abundance of high-dimensional and correlated data being routinely collected. Classical multivariate approaches like Multivariate Analysis…