Related papers: On the top eigenvalue of heavy-tailed random matri…

We obtain lower tail estimates for the smallest singular value of random matrices with independent but non-identically distributed entries. Specifically, we consider $n\times n$ matrices with complex entries of the form \[ M = A\circ X + B…

A large i.i.d. random matrix with deterministic low-rank perturbation has been extensively studied, particularly in the aspects of the ESD (Empirical Spectral Distribution) and the outliers of eigenvalues. In this work, we investigate the…

We compute the Tracy-Widom distribution describing the asymptotic distribution of the largest eigenvalue of a large random matrix by solving a boundary-value problem posed by Bloemendal in his Ph.D. Thesis (2011). The distribution is…

We prove a local law in the bulk of the spectrum for random Gram matrices $XX^*$, a generalization of sample covariance matrices, where $X$ is a large matrix with independent, centered entries with arbitrary variances. The limiting…

We show that the fluctuations of the largest eigenvalue of any generalized Wigner matrix $H$ converge to the Tracy-Widom laws at a rate nearly $O(N^{-1/3})$, as the matrix dimension $N$ tends to infinity. We allow the variances of the…

For a pair of coupled rectangular random matrices we consider the squared singular values of their product, which form a determinantal point process. We show that the limiting mean distribution of these squared singular values is described…

Let $P_N$ be a uniform random $N\times N$ permutation matrix and let $\chi_N(z)=\det(zI_N- P_N)$ denote its characteristic polynomial. We prove a law of large numbers for the maximum modulus of $\chi_N$ on the unit circle, specifically, \[…

We provide asymptotic theory for certain functions of the sample autocovariance matrices of a high-dimensional time series with infinite fourth moment. The time series exhibits linear dependence across the coordinates and through time.…

Bandeira et al. (2017) show that the eigenvalues of the Kendall correlation matrix of $n$ i.i.d. random vectors in $\mathbb{R}^p$ are asymptotically distributed like $1/3 + (2/3)Y_q$, where $Y_q$ has a Mar\v{c}enko-Pastur law with parameter…

In this article, we study high-dimensional behavior of empirical spectral distributions $\{L_N(t), t\in[0,T]\}$ for a class of $N\times N$ symmetric/Hermitian random matrices, whose entries are generated from the solution of stochastic…

For fixed positive integers m, we consider the product of m independent n by n random matrices with iid entries as in the limit as n tends to infinity. Under suitable assumptions on the entries of each matrix, it is known that the limiting…

We prove that the eigenvectors associated to small enough eigenvalues of an heavy-tailed symmetric random matrix are delocalized with probability tending to one as the size of the matrix grows to infinity. The delocalization is measured…

We study the maximum of the random assignment process on rectangular matrices. We derive first-order asymptotics for the expected maximum, prove a law of large numbers under mild tail assumptions, and obtain exponential upper bounds for the…

It was recently conjectured by Fyodorov, Hiary and Keating that the maximum of the characteristic polynomial on the unit circle of a $N\times N$ random unitary matrix sampled from the Haar measure grows like $CN/(\log N)^{3/4}$ for some…

We extend the proof of the local semicircle law for generalized Wigner matrices given in [4] to the case when the matrix of variances has an eigenvalue $ -1 $. In particular, this result provides a short proof of the optimal local…

This work is concerned with finite range bounds on the variance of individual eigenvalues of random covariance matrices, both in the bulk and at the edge of the spectrum. In a preceding paper, the author established analogous results for…

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…

This short note studies the fluctuations of the largest eigenvalue of symmetric random matrices with correlated Gaussian entries having positive mean. Under the assumption that the covariance kernel is absolutely summable, it is proved that…

Given a collection $\{\lambda_1, \dots, \lambda_n\} $ of real numbers, there is a canonical probability distribution on the set of real symmetric or complex Hermitian matrices with eigenvalues $\lambda_1,\ldots,\lambda_n$. In this paper, we…

Euclidean random matrices arise in a wide range of physical systems where interactions are determined by spatial configurations, including disordered media and cooperative phenomena in atomic ensembles. Unlike classical random matrix…