Related papers: Optimal multi-resolvent local laws for Wigner matr…
Variational inference methods for latent variable statistical models have gained popularity because they are relatively fast, can handle large data sets, and have deterministic convergence guarantees. However, in practice it is unclear…
We consider non-Hermitian random matrices $X \in \mathbb{C}^{n \times n}$ with general decaying correlations between their entries. For large $n$, the empirical spectral distribution is well approximated by a deterministic density,…
We present an optimization model defined on the manifold of the set of stochastic matrices. Geometrically, the model is akin to identifying a maximum-volume $n$-dimensional simplex that has a given barycenter and is enclosed by the…
The eigenvalue distribution of the sum of two large Hermitian matrices, when one of them is conjugated by a Haar distributed unitary matrix, is asymptotically given by the free convolution of their spectral distributions. We prove that this…
We introduce kernel estimators for the semicircle law. In this first part of our general theory on the estimators, we prove the consistency and conduct simulation study to show the performance of the estimators. We also point out that…
The empirical eigenvalue distribution of the elliptic random matrix ensemble tends to the uniform measure on an ellipse in the complex plane as its dimension tends to infinity. We show this convergence on all mesoscopic scales slightly…
In this paper, we investigate the asymptotic spectrum of complex or real Deformed Wigner matrices $(M_N)_N$ defined by $M_N=W_N/\sqrt{N}+A_N$ where $W_N$ is an $N\times N$ Hermitian (resp., symmetric) Wigner matrix whose entries have a…
We consider the products $G_n = A_n \cdots A_1$ of independent and identical distributed nonnegative $d \times d$ matrices $(A_i)_{i \geq 1}$. For any starting point $x \in \mathbb{R}_+^d$ with unit norm, we establish the convergence to a…
We present the first minimax risk bounds for estimators of the spectral measure in multivariate linear factor models, where observations are linear combinations of regularly varying latent factors. Non-asymptotic convergence rates are…
For complex Wigner-type matrices, i.e. Hermitian random matrices with independent, not necessarily identically distributed entries above the diagonal, we show that at any cusp singularity of the limiting eigenvalue distribution the local…
Let $D(n)$ be the maximal determinant for $n \times n$ $\{\pm 1\}$-matrices, and ${\mathcal R}(n) = D(n)/n^{n/2}$ be the ratio of $D(n)$ to the Hadamard upper bound. We give several new lower bounds on ${\mathcal R}(n)$ in terms of $d$,…
Considering random matrix $X \in \mathcal M_{p,n}$ with independent columns satisfying the convex concentration properties issued from a famous theorem of Talagrand, we express the linear concentration of the resolvent $Q = (I_p -…
We compare eigenvalue densities of Wigner random matrices whose elements are independent identically distributed (iid) random numbers with a Levy distribution and maximally random matrices with a rotationally invariant measure exhibiting a…
We determine to leading order the maximum of the characteristic polynomial for Wigner matrices and $\beta$-ensembles. In the special case of Gaussian-divisible Wigner matrices, our method provides universality of the maximum up to…
This article is concerned with Monte-Carlo methods for the estimation of the trace of an implicitly given matrix $A$ whose information is only available through matrix-vector products. Such a method approximates the trace by an average of…
We address overcrowding estimates for the singular values of random iid matrices, as well as for the eigenvalues of random Wigner matrices. We show evidence of long range separation under arbitrary perturbation even in matrices of discrete…
Given a random subspace $H_n$ chosen uniformly in a tensor product of Hilbert spaces $V_n\otimes W$, we consider the collection $K_n$ of all singular values of all norm one elements of $H_n$ with respect to the tensor structure. A law of…
We obtain the explicit rate of convergence $N^{-1/2 + \epsilon}$ for the gaps of generalized Wigner matrices in the bulk of the spectrum, for distributions of matrix entries possibly atomic and supported on enough points. The proof proceeds…
We formulate conjectures regarding the maximum value and maximizing matrices of the permanent and of diagonal products on the set of stochastic matrices with bounded rank. We formulate equivalent conjectures on upper bounds for these…
Optimal design of distributed decision policies can be a difficult task, illustrated by the famous Witsenhausen counterexample. In this paper we characterize the optimal control designs for the vector-valued setting assuming that it results…