Related papers: Linear Eigenvalue Statistics of $XX^\prime$ matric…
Let $A$ be an infinite Toeplitz matrix with a real symbol $f$ defined on $[-\pi, \pi]$. It is well known that the sequence of spectra of finite truncations $A_N$ of $A$ converges to the convex hull of the range of $f$. Recently, Levitin and…
We compute the asymptotics of the determinants of certain $n\times n$ Toeplitz + Hankel matrices $T_n(a)+H_n(b)$ as $n\to\infty$ with symbols of Fisher-Hartwig type. More specifically we consider the case where $a$ has zeros and poles and…
In this paper we study the rate of convergence of the eigenvalues of 1-dimensional rapidly oscillating $p-$laplacian type problems and find explicit order of convergence both in $k$ and in $\ve$. Moreover, explicit bounds on the constant…
This paper studies new tests for the number of latent factors in a large cross-sectional factor model with small time dimension. These tests are based on the eigenvalues of variance-covariance matrices of (possibly weighted) asset returns,…
The current work applies some recent combinatorial tools due to Jain to control the eigenvalue gaps of a matrix $M_n = M + N_n$ where $M$ is deterministic, symmetric with large operator norm and $N_n$ is a random symmetric matrix with…
It has been observed that the statistical distribution of the eigenvalues of random matrices possesses universal properties, independent of the probability law of the stochastic matrix. In this article we find the correlation functions of…
In this paper, we show that the largest and smallest eigenvalues of a sample correlation matrix stemming from $n$ independent observations of a $p$-dimensional time series with iid components converge almost surely to $(1+\sqrt{\gamma})^2$…
An invariant ensemble of $N\times N$ random matrices can be characterised by a joint distribution for eigenvalues $P(\lambda_1,\cdots,\lambda_N)$. The study of the distribution of linear statistics, i.e. of quantities of the form…
We estimate the norms of standard Gaussian random Toeplitz and circulant matrices and their inverses, mostly by means of combining some basic techniques of linear algebra. In the case of circulant matrices we obtain sharp probabilistic…
We study fluctuations of polynomial linear statistics for discrete Schr\"odinger operators with a random decaying potential. We describe a decomposition of the space of polynomials into a direct sum of three subspaces determining the growth…
Let $\mathbf{X}_p=(\mathbf{s}_1,...,\mathbf{s}_n)=(X_{ij})_{p \times n}$ where $X_{ij}$'s are independent and identically distributed (i.i.d.) random variables with $EX_{11}=0,EX_{11}^2=1$ and $EX_{11}^4<\infty$. It is showed that the…
We consider extremal eigenvalues of sparse random matrices, a class of random matrices including the adjacency matrices of Erd\H{o}s-R\'{e}nyi graphs $\mathcal{G}(N,p)$. Recently, it was shown that the leading order fluctuations of extremal…
It is known that the generating function $f$ of a sequence of Toeplitz matrices $\{T_n(f)\}_n$ may not describe the asymptotic distribution of the eigenvalues of $T_n(f)$ if $f$ is not real. In this paper, we assume as a working hypothesis…
This paper studies the asymptotic spectral properties of a renormalized sample correlation matrix, including the limiting spectral distribution, the properties of largest eigenvalues, and the central limit theorem for linear spectral…
In this paper we solve the eigenvalue problem of stochastic Hamiltonian system with boundary conditions. Firstly, we extend the results in S. Peng \cite{peng} from time-invariant case to time-dependent case, proving the existence of a…
This paper discusses fluctuations of linear spectral statistics of high-dimensional sample covariance matrices when the underlying population follows an elliptical distribution. Such population often possesses high order correlations among…
For the Gaussian and Laguerre random matrix ensembles, the probability density function (p.d.f.) for the linear statistic $\sum_{j=1}^N (x_j - <x>)$ is computed exactly and shown to satisfy a central limit theorem as $N \to \infty$. For the…
The real Ginibre ensemble consists of random $N \times N$ matrices formed from i.i.d. standard Gaussian entries. By using the method of skew orthogonal polynomials, the general $n$-point correlations for the real eigenvalues, and for the…
We prove that, for general test functions, the limiting behavior of the linear statistic of an independent entry random matrix is determined only by the first four moments of the entry distributions. This immediately generalizes the known…
We examine the adjacency matrices of three-regular graphs representing one-face maps. Numerical studies reveal that the limiting eigenvalue statistics of these matrices are the same as those of much larger, and more widely studied classes…