Related papers: Three-Parametric Marcenko-Pastur Density

This study derives a new property of the Wishart distribution when the degree-of-freedom and the size of the matrix parameter of the distribution grow simultaneoulsy. Particularly, the asymptotic normality of the product of four independent…

We analyze the complexity of sampling from a class of heavy-tailed distributions by discretizing a natural class of It\^o diffusions associated with weighted Poincar\'e inequalities. Based on a mean-square analysis, we establish the…

We study the limiting spectral distribution of sample covariance matrices $XX^T$, where $X$ are $p\times n$ random matrices with correlated entries, for the cases $p/n\to y\in [0,\infty)$. If $y>0$, we obtain the Mar\v{c}enko-Pastur…

We consider nonparametric statistical inference on a periodic interaction potential $W$ from noisy discrete space-time measurements of solutions $\rho=\rho_W$ of the nonlinear McKean-Vlasov equation, describing the probability density of…

We calculate the `one-point function', meaning the marginal probability density function for any single eigenvalue, of real and complex Wishart correlation matrices. No explicit expression had been obtained for the real case so far. We…

We compute exact asymptotic of the statistical density of random matrices belonging to invariant random matrices ensemble (RMT) orthogonal, unitary and symplectic ensembles, where all its eigenvalues lie within the interval $[\sigma,…

Convergence analysis of Markov chain Monte Carlo methods in high-dimensional statistical applications is increasingly recognized. In this paper, we develop general mixing time bounds for Metropolis-Hastings algorithms on discrete spaces by…

We show that high energy scattering is a statistical process essentially similar to reaction-diffusion in a system made of a finite number of particles. The Balitsky-JIMWLK equations correspond to the time evolution law for the particle…

Using a nonperturbative approach we examine the large frequency asymptotics of the two-point level density correlator in weakly disordered metallic grains. This allows us to study the behavior of the two-level structure factor close to the…

We study the probability distribution P(M) of the order parameter (average magnetization) M, for the finite-size systems at the critical point. The systems under consideration are the 3-dimensional Ising model on a simple cubic lattice, and…

We define a class of "algebraic" random matrices. These are random matrices for which the Stieltjes transform of the limiting eigenvalue distribution function is algebraic, i.e., it satisfies a (bivariate) polynomial equation. The Wigner…

The weakly asymmetric exclusion process (WASEP) in one dimension is a paradigmatic system of interacting particles described by the macroscopic fluctuation theory (MFT) in the presence of driving. We consider an initial condition with…

We construct a system of interacting two-sided Bessel processes on the unit interval and show that the associated empirical measure process converges to the Wasserstein Diffusion, assuming that Markov uniqueness holds for the generating…

Let $\{x_{\alpha}\}_{\alpha \in \mathbb{Z}}$ and $\{y_{\alpha}\}_{\alpha \in \mathbb{Z}}$ be two independent collections of zero mean, unit variance random variables with uniformly bounded moments of all orders. Consider a nonsymmetric…

Consider random matrices $A$, of dimension $m\times (m+n)$, drawn from an ensemble with probability density $f(\rmtr AA^\dagger)$, with $f(x)$ a given appropriate function. Break $A = (B,X)$ into an $m\times m$ block $B$ and the…

We consider high dimensional Wishart matrices $\mathbb{X} \mathbb{X}^{\top}$ where the entries of $\mathbb{X} \in {\mathbb{R}^{n \times d}}$ are i.i.d. from a log-concave distribution. We prove an information theoretic phase transition:…

We show that in a hierarchical clustering model the low-order statistics of the density and the peculiar velocity fields can all be modelled semianalytically for a given cosmology and an initial density perturbation power spectrum $P(k)$.…

We study the asymptotic of the spectral distribution for large empirical covariance matrices composed of independent Multifractal Random Walk processes. The asymptotic is taken as the observation lag shrinks to 0. In this setting, we show…

The anarchy principle leading to the see-saw ensemble is studied analytically with the usual tools of random matrix theory. The probability density function for the see-saw ensemble of $N\times N$ matrices is obtained in terms of a…

The ensemble of random Markov matrices is introduced as a set of Markov or stochastic matrices with the maximal Shannon entropy. The statistical properties of the stationary distribution pi, the average entropy growth rate $h$ and the…