Related papers: Computing the Tracy-Widom Distribution for Arbitra…
We study a new family of random variables, that each arise as the distribution of the maximum or minimum of a random number $N$ of i.i.d.~random variables $X_1,X_2,\ldots,X_N$, each distributed as a variable $X$ with support on $[0,1]$. The…
We present an analytical technique to compute the probability of rare events in which the largest eigenvalue of a random matrix is atypically large (i.e.\ the right tail of its large deviations). The results also transfer to the left tail…
We consider large non-Hermitian real or complex random matrices $X$ with independent, identically distributed centred entries. We prove that their local eigenvalue statistics near the spectral edge, the unit circle, coincide with those of…
In Bayesian applications, there is a huge interest in rapid and accurate estimation of the posterior distribution, particularly for high dimensional or hierarchical models. In this article, we propose to use optimization to solve for a…
We consider a directed graph on the 2-dimensional integer lattice, placing a directed edge from vertex $(i_1,i_2)$ to $(j_1,j_2)$, whenever $i_1 \le j_1$, $i_2 \le j_2$, with probability $p$, independently for each such pair of vertices.…
We explore the limiting empirical eigenvalue distributions arising from matrices of the form \[A_{n+1} = \begin{bmatrix} A_n & I\\ I & A_n \end{bmatrix} , \]where $A_0$ is the adjacency matrix of a $k$-regular graph. We find that for…
The aim of this manuscript is to derive bounds on the moduli of eigenvalues of special type of rational matrices of the form $T(\lambda) = \displaystyle -B_0 +I\lambda +\frac{B_1}{\lambda-\alpha_1}+ \dots+ \frac{B_m}{\lambda-\alpha_m}$,…
We study the probability that all the eigenvalues of $n\times n$ Hermitian matrices, from the Laguerre unitary ensemble with the weight $x^{\gamma}\mathrm{e}^{-4nx},\;x\in[0,\infty),\;\gamma>-1$, lie in the interval $[0,\alpha]$. By using…
We compute the signed distribution of the eigenvalues/vectors of the complex order-three random tensor by computing a partition function of a four-fermi theory, where signs are from a Hessian determinant associated to each eigenvector. The…
Many solutions for scientific problems rely on finding the first (largest) eigenvalue and eigenvector of a particular matrix. We explore the distribution of the first eigenvector of a symmetric random sparse matrix. To analyze the…
We study the height of the delta peak at 0 in the spectrum of random tree incidence matrices. We show that the average fraction of the spectrum occupied by the eigenvalue 0 in a large random tree is asymptotic to 2x-1 =…
This paper introduces the Eigenvalue-Based Randomness (EBR) test - a novel approach rooted in the Tracy-Widom law from random matrix theory - and applies it to the context of residual analysis in panel data models. Unlike traditional…
This paper addresses the statistical problem of estimating the infinite-norm deviation from the empirical mean to the distribution mean for high-dimensional distributions on $\{0,1\}^d$, potentially with $d=\infty$. Unlike traditional…
A fundamental problem in statistics is estimating the shape matrix of an Elliptical distribution. This generalizes the familiar problem of Gaussian covariance estimation, for which the sample covariance achieves optimal estimation error.…
For a square matrix, the range of its Rayleigh quotients is known as the numerical range, which is a compact and convex set by the Toeplitz-Hausdorff theorem. The largest value and the smallest boundary value (in magnitude) of this convex…
We introduce a new technique to prove bounds for the spectral radius of a random matrix, based on using Jensen's formula to establish the zerofreeness of the associated characteristic polynomial in a region of the complex plane. Our…
Extreme value theory is part and parcel of any study of order statistics in one dimension. Our aim here is to consider such large sample theory for the maximum distance to the origin, and the related maximum "interpoint distance," in…
We establish a comprehensive probability theory for coherent transport of random waves through arbitrary linear media. The transmissivity distribution for random coherent waves is a fundamental B-spline with knots at the transmission…
The Calogero-Painlev\'e systems were introduced in 2001 by K. Takasaki as a natural generalization of the classical Painlev\'e equations to the case of the several Painlev\'e ``particles'' coupled via the Calogero type interactions. In…
We study the problem of computing the tightest upper and lower bounds on the probability that the sum of $n$ dependent Bernoulli random variables exceeds an integer $k$. Under knowledge of all pairs of bivariate distributions denoted by a…