Related papers: Extremal Laws for Laplacian Random Matrices

Let $\bm{x}_1,\cdots,\bm{x}_n$ be a random sample of size $n$ from a $p$-dimensional population distribution, where $p=p(n)\rightarrow\infty$. Consider a symmetric matrix $W=X^\top X$ with parameters $n$ and $p$, where…

We investigate the statistics of the maximal fluctuation of two-dimensional Gaussian interfaces. Its relation to the entropic repulsion between rigid walls and a confined interface is used to derive the average maximal fluctuation $<m> \sim…

In this manuscript, we study the limiting distribution for the joint law of the largest and the smallest singular values for random circulant matrices with generating sequence given by independent and identically distributed random elements…

In this article, we obtain a super-exponential rate of convergence in total variation between the traces of the first $m$ powers of an $n\times n$ random unitary matrices and a $2m$-dimensional Gaussian random variable. This generalizes…

We prove that the logarithm of the determinant of a Wigner matrix satisfies a central limit theorem in the limit of large dimension. Previous results about fluctuations of such determinants required that the first four moments of the matrix…

A pedagogical account of some aspects of Extreme Value Statistics (EVS) is presented from the somewhat non-standard viewpoint of Large Deviation Theory. We address the following problem: given a set of $N$ i.i.d. random variables…

An exact analytical description of extreme intensity statistics in complex random states is derived. These states have the statistical properties of the Gaussian and Circular Unitary Ensemble eigenstates of random matrix theory. Although…

Let ${X}_{k}=(x_{k1}, \cdots, x_{kp})', k=1,\cdots,n$, be a random sample of size $n$ coming from a $p$-dimensional population. For a fixed integer $m\geq 2$, consider a hypercubic random tensor $\mathbf{{T}}$ of $m$-th order and rank $n$…

Consider the sample covariance matrix $$\Sigma^{1/2}XX^T\Sigma^{1/2}$$ where $X$ is an $M\times N$ random matrix with independent entries and $\Sigma$ is an $M\times M$ diagonal matrix. It is known that if $\Sigma$ is deterministic, then…

In this paper we discuss general tridiagonal matrix models which are natural extensions of the ones given by Dumitriu and Edelman. We prove here the convergence of the distribution of the eigenvalues and compute the limiting distributions…

We establish a large deviation principle for the largest eigenvalue of a rank one deformation of a matrix from the GUE or GOE. As a corollary, we get another proof of the phenomenon, well-known in learning theory and finance, that the…

Given a collection $\{\lambda_1, \dots, \lambda_n\} $ of real numbers, there is a canonical probability distribution on the set of real symmetric or complex Hermitian matrices with eigenvalues $\lambda_1,\ldots,\lambda_n$. In this paper, we…

A family of random matrix ensembles interpolating between the GUE and the Ginibre ensemble of $n\times n$ matrices with iid centered complex Gaussian entries is considered. The asymptotic spectral distribution in these models is uniform in…

We establish sharp large-deviation asymptotic estimates for the maximum order statistic of i.i.d.\ standard normal random variables on all Borel subsets of the positive real line. This result yields more accurate tail approximations than…

In this paper we examine the zero and first order eigenvalue fluctuations for the $\beta$-Hermite and $\beta$-Laguerre ensembles, using the matrix models we described in \cite{dumitriu02}, in the limit as $\beta \to \infty$. We find that…

We are interested in two random matrix ensembles related to permutations: the ensemble of permutation matrices following Ewens' distribution of a given parameter $\theta >0$, and its modification where entries equal to $1$ in the matrices…

The performance of spectral clustering relies on the fluctuations of the entries of the eigenvectors of a similarity matrix, which has been left uncharacterized until now. In this letter, it is shown that the signal $+$ noise structure of a…

We study operators obtained by coupling an $n \times n$ random matrix from one of the Gaussian ensembles to the discrete Laplacian. We find the joint distribution of the eigenvalues and resonances of such operators. This is one of the…

In this paper, we study the fluctuation of linear eigenvalue statistics of Random Band Matrices defined by $M_{n}=\frac{1}{\sqrt{b_{n}}}W_{n}$, where $W_{n}$ is a $n\times n$ band Hermitian random matrix of bandwidth $b_{n}$, i.e., the…

We prove the Paquette-Zeitouni law of fractional logarithm (LFL) for the extreme eigenvalues [arXiv:1505.05627] in full generality, and thereby verify a conjecture from [arXiv:1505.05627]. Our result holds for any Wigner minor process and…