Related papers: Global Fluctuations of Gaussian Elliptic Matrices

Gaussian graphical models have become a well-recognized tool for the analysis of conditional independencies within a set of continuous random variables. From an inferential point of view, it is important to realize that they are composite…

We extend the relation between random matrices and free probability theory from the level of expectations to the level of fluctuations. We show how the concept of "second order freeness", which was introduced in Part I, allows one to…

A central tool in the study of nonhomogeneous random matrices, the noncommutative Khintchine inequality, yields a nonasymptotic bound on the spectral norm of general Gaussian random matrices $X=\sum_i g_i A_i$ where $g_i$ are independent…

In this paper we suggest generalizations of elliptic integrable tops to matrix-valued variables. Our consideration is based on $R$-matrix description which provides Lax pairs in terms of quantum and classical $R$-matrices. First, we prove…

We show that an independent family of uniformly distributed random permutation matrices is asymptotically *-free from an independent family of square complex Gaussian matrices and from an independent family of complex Wishart matrices, and…

The Gaussian model equips strong properties that facilitate studying and interpreting graphical models. Specifically it reduces conditional independence and the study of positive association to determining partial correlations and their…

We present a genus expansion-type expression for the expected values of products of traces of expressions involving Haar-distributed orthogonal matrices. As with other real genus expansions, nonorientable surfaces appear, in addition to the…

The paper investigates the asymptotic behavior of (non-normalized) traces of certain classes of matrices with non-commutative random variables as entries. We show that, unlike in the commutative framework, the asymptotic behavior of…

Traces of large powers of real-valued Wigner matrices are known to have Gaussian fluctuations: for $A=\frac{1}{\sqrt{n}}(a_{ij})_{1 \leq i,j \leq n}\in \mathbb{R}^{n \times n}, A=A^T$ with $(a_{ij})_{1 \leq i \leq j \leq n}$ i.i.d.,…

Using new combinatorial techniques, we significantly improve the previous results on asymptotic distributions and asymptotic free independence relations of partial transposes of Wishart random matrices. In particular, we give a necessary…

We consider large-dimensional Hermitian or symmetric random matrices of the form $W=M+\vartheta V$ where $M$ is a Wigner matrix and $V$ is a real diagonal matrix whose entries are independent of $M$. For a large class of diagonal matrices…

For many applications with multivariate data, random field models capturing departures from Gaussianity within realisations are appropriate. For this reason, we formulate a new class of multivariate non-Gaussian models based on systems of…

Explicit formulas for the Gauss decomposition of elliptic Cauchy type matrices are derived in a very simple way. The elliptic Cauchy identity is an immediate corollary.

We study the annealed complexity of a random Gaussian homogeneous polynomial on the $N$-dimensional unit sphere in the presence of deterministic polynomials that depend on fixed unit vectors and external parameters. In particular, we…

We establish a large deviation principle for the empirical spectral measure of a sample covariance matrix with sub-Gaussian entries, which extends Bordenave and Caputo's result for Wigner matrices having the same type of entries [7]. To…

We study asymptotics of reducible representations of the symmetric groups S_q for large q. We decompose such a representation as a sum of irreducible components (or, alternatively, Young diagrams) and we ask what is the character of a…

We present elliptical processes, a family of non-parametric probabilistic models that subsume Gaussian processes and Student's t processes. This generalization includes a range of new heavy-tailed behaviors while retaining computational…

We study global fluctuations for singular values of $M$-fold products of several right-unitarily invariant $N \times N$ random matrix ensembles. As $N \to \infty$, we show the fluctuations of their height functions converge to an explicit…

We study asymptotic infinitesimal distributions of Gaussian Unitary Ensembles with permuted entries. We show that for random uniform permutations, the asymptotically permuted GUE matrix has a null infinitesimal distribution. Moreover, we…

We show that the global fluctuations of spectra of GOE and GUE matrices and their principal submatrices executing Dyson's Brownian motion are Gaussian in the limit of large matrix dimensions. For nested submatrices one obtains a limiting…