Related papers: Extremal Laws for Laplacian Random Matrices

We consider the random matrix ensemble with an external source \[ \frac{1}{Z_n} e^{-n \Tr({1/2}M^2 -AM)} dM \] defined on $n\times n$ Hermitian matrices, where $A$ is a diagonal matrix with only two eigenvalues $\pm a$ of equal…

Let $G$ be an $N \times N$ real matrix whose entries are independent identically distributed standard normal random variables $G_{ij} \sim \mathcal{N}(0,1)$. The eigenvalues of such matrices are known to form a two-component system…

The classical random matrix theory is mostly focused on asymptotic spectral properties of random matrices as their dimensions grow to infinity. At the same time many recent applications from convex geometry to functional analysis to…

The problem of finding large average submatrices of a real-valued matrix arises in the exploratory analysis of data from a variety of disciplines, ranging from genomics to social sciences. In this paper we provide a detailed asymptotic…

A Gaussian fluctuation formula is proved for linear statistics of complex random matrices in the case that the statistic is rotationally invariant. For a general linear statistic without this symmetry, Coulomb gas theory is used to predict…

The real Ginibre spherical ensemble consists of random matrices of the form $A B^{-1}$, where $A,B$ are independent standard real Gaussian $N \times N$ matrices. The expected number of real eigenvalues is known to be of order $\sqrt{N}$. We…

We bound the second eigenvalue of random $d$-regular graphs, for a wide range of degrees $d$, using a novel approach based on Fourier analysis. Let $G_{n, d}$ be a uniform random $d$-regular graph on $n$ vertices, and let $\lambda (G_{n,…

Maximum-type statistics of certain functions of the sample covariance matrix of high-dimensional vector time series are studied to statistically confirm or reject the null hypothesis that a data set has been collected under normal…

We consider the spectrum of additive, polynomially vanishing random perturbations of deterministic matrices, as follows. Let $M_N$ be a deterministic $N\times N$ matrix, and let $G_N$ be a complex Ginibre matrix. We consider the matrix…

Let $A$ be an $n \times n$ random matrix with independent identically distributed non-constant subgaussian entries. Then for any $k \le c \sqrt{n}$, \[ \text{rank}(A) \ge n-k \] with probability at least $1-\exp(-c'kn)$.

We compute the second order asymptotics of the maximum of the absolute value of the log-characteristic polynomial of random Jacobi matrices whose coefficients satisfy some exponential integrability condition. In particular, by the…

In this paper we extend the orthogonal polynomials approach for extreme value calculations of Hermitian random matrices, developed by Nadal and Majumdar [1102.0738], to normal random matrices and 2D Coulomb gases in general. Firstly, we…

We consider a random matrix whose entries are independent Gaussian variables taking values in the field of quaternions with variance $1/n$. Using logarithmic potential theory, we prove the almost sure convergence, as the dimension $n$ goes…

We use two variational techniques to prove upper bounds for sums of the lowest several eigenvalues of matrices associated with finite, simple, combinatorial graphs. These include estimates for the adjacency matrix of a graph and for both…

We prove two basic conjectures on the distribution of the smallest singular value of random n times n matrices with independent entries. Under minimal moment assumptions, we show that the smallest singular value is of order n^{-1/2}, which…

We consider the eigenvalues of sample covariance matrices of the form $\mathcal{Q}=(\Sigma^{1/2}X)(\Sigma^{1/2}X)^*$. The sample $X$ is an $M\times N$ rectangular random matrix with real independent entries and the population covariance…

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…

This paper studies the behaviour of the empirical eigenvalue distribution of large random matrices W_N W_N* where W_N is a ML x N matrix, whose M block lines of dimensions L x N are mutually independent Hankel matrices constructed from…

We consider the GUE minor process, where a sequence of GUE matrices is drawn from the corner of a doubly infinite array of i.i.d. standard normal variables subject to the symmetry constraint. From each matrix, we take its largest…

Correlation function of complex eigenvalues of N by N random matrices drawn from non-Hermitean random matrix ensemble of symplectic symmetry is given in terms of a quaternion determinant. Spectral properties of Gaussian ensembles are…