Related papers: Replica method for eigenvalues of real Wishart pro…
Let $W$ be a random positive definite symmetric matrix distributed according to a real Wishart distribution and let $W^{-1}=(W^{ij})_{i,j}$ be its inverse matrix. We compute general moments $\mathbb{E} [W^{k_1 k_2} W^{k_3 k_4} ...…
We propose a novel resampling-based method to construct an asymptotically exact test for any subset of hypotheses on coefficients in high-dimensional linear regression. It can be embedded into any multiple testing procedure to make…
In this second part of our series of papers, we develop an abstract framework suitable for de Rham complexes that depend on a parameter belonging to an arbitrary Banach space. Our primary focus is on spectral perturbation problems and the…
Understanding the limiting behavior of eigenvalues of random matrices is the central problem of random matrix theory. Classical limit results are known for many models, and there has been significant recent progress in obtaining more…
This work deals with the simulation of Wishart processes and affine diffusions on positive semidefinite matrices. To do so, we focus on the splitting of the infinitesimal generator, in order to use composition techniques as Ninomiya and…
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 apply the method of inverse iteration to the Laplace eigenvalue problem with Robin and mixed Dirichlet-Neumann boundary conditions, respectively. For each problem, we prove convergence of the iterates to a non-trivial principal…
It is shown that a Wishart matrix of standard complex normal random variables is asymptotically freely independent of an independent random matrix, under minimal conditions, in two different sense of asymptotic free independence.
In this paper, we develop a novel approach to the Weingarten calculus by employing the notion of virtual isometries. Traditionally, Weingarten calculus provides explicit formulas for integrating polynomial functions over compact matrix…
In this paper we consider the extreme behavior of the extremal eigenvalues of white Wishart matrices, which plays an important role in multivariate analysis. In particular, we focus on the case when the dimension of the feature p is much…
In a previous paper, the author constructed frames and oversampling formulas for band-limited functions, in the framework of the theory of shift-invariant spaces. In this article we study the problem of recovering missing samples. We find a…
The joint moments of the derivatives of the characteristic polynomial of a random unitary matrix, and also a variant of the characteristic polynomial that is real on the unit circle, in the large matrix size limit, have been studied…
We study eigenvalue problems for the de Rham complex on varying three dimensional domains. Our analysis includes the Helmholtz equation as well as the Maxwell system with mixed boundary conditions and non-constant coefficients. We provide…
We propose a second-order accurate method to estimate the eigenvectors of extremely large matrices thereby addressing a problem of relevance to statisticians working in the analysis of very large datasets. More specifically, we show that…
We consider the smallest eigenvalue distributions of some Freud unitary ensembles, that is, the probabilities that all the eigenvalues of the Hermitian matrices from the ensembles lie in the interval $(t,\infty)$. This problem is related to…
The product of M complex random Gaussian matrices of size N has recently been studied by Akemann, Kieburg and Wei. They showed that, for fixed M and N, the joint probability distribution for the squared singular values of the product matrix…
A problem that is frequently encountered in a variety of mathematical contexts, is to find the common invariant subspaces of a single, or set of matrices. A new method is proposed that gives a definitive answer to this problem. The key idea…
The goal of this paper is to develop numerical methods computing a few smallest elasticity transmission eigenvalues, which are of practical importance in inverse scattering theory. The problem is challenging since it is nonlinear,…
We give a constructive proof for the superbosonization formula for invariant random matrix ensembles, which is the supersymmetry analog of the theory of Wishart matrices. Formulas are given for unitary, orthogonal and symplectic symmetry,…
In this paper, we introduce a new and efficient data augmentation approach to the posterior inference of the models with shape parameters when the reciprocal gamma function appears in full conditional densities. Our approach is to…