Related papers: Wigner-Dyson Statistics from the Replica Method
We present a new framework for recycling independent variational approximations to Gaussian processes. The main contribution is the construction of variational ensembles given a dictionary of fitted Gaussian processes without revisiting any…
The purpose of this paper is to study the problem of computing unitary eigenvalues (U-eigenvalues) of non-symmetric complex tensors. By means of symmetric embedding of complex tensors, the relationship between U-eigenpairs of a…
We introduce a generalized ensemble of nonhermitian matrices interpolating between the Gaussian Unitary Ensemble, the Ginibre ensemble and the Poisson ensemble. The joint eigenvalue distribution of this model is obtained by means of an…
We study the universality of spectral statistics of large random matrices. We consider $N\times N$ symmetric, hermitian or quaternion self-dual random matrices with independent, identically distributed entries (Wigner matrices) where the…
We develop adaptive estimation and inference methods for high-dimensional Gaussian copula regression that achieve the same performance without the knowledge of the marginal transformations as that for high-dimensional linear regression.…
We use the Whittaker vectors and the Drinfeld Casimir element to show that eigenfunctions of the difference Toda Hamiltonian can be expressed via fermionic formulas. Motivated by the combinatorics of the fermionic formulas we use the…
It is shown that the correlation functions of the random variables $\det(\lambda - X)$, in which $X$ is a real symmetric $ N\times N$ random matrix, exhibit universal local statistics in the large $N$ limit. The derivation relies on an…
Gaussian couplings of partial sum processes are derived for the high-dimensional regime $d=o(n^{1/3})$. The coupling is derived for sums of independent random vectors and subsequently extended to nonstationary time series. Our inequalities…
We use the supersymmetric formalism to derive an integral formula for the density of states of the Gaussian Orthogonal Ensemble, and then apply saddle-point analysis to give a new derivation of the 1/N-correction to Wigner's law. This…
Statistics over the Gaussian unitary ensemble and the Wishart ensemble of random matrices often have nice closed-form expressions. These are related to multivariate extensions of the Hermite, Laguerre, and Jacobi polynomials, which often…
The algorithm to calculate the generating function for the number of ``skeleton'' diagrams for the irreducible self-energy and vertex parts is derived for the problems with Gaussian random fields. We find an exact recurrence relation…
We consider the Rosenzweig-Porter model of random matrix which interpolates between Poisson and gaussian unitary statistics and compute exactly the two-point correlation function. Asymptotic formulas for this function are given near the…
Statistical properties of eigenvectors in non-Hermitian random matrix ensembles are discussed, with an emphasis on correlations between left and right eigenvectors. Two approaches are described. One is an exact calculation for Ginibre's…
In this paper we investigate the problem of estimating the regression function in models with correlated observations. The data is obtained from several experimental units each of them forms a time series. We propose a new estimator based…
This article is intended to provide a pedagogical introduction to the supersymmetry method for performing ensemble-averaging in Gaussian random-matrix theory. The method is illustrated by a detailed calculation of the simplest non-trivial…
We calculate connected correlators in time dependent Gaussian orthogonal and symplectic random matrix ensembles by a diagrammatic method. We obtain averaged one-point Green's functions in the leading order O(1) and wide two-level and…
In order to find reliable and efficient numerical approximation schemes, we suggest to identify the Functional Renormalization Group flow equations of one-particle irreducible two-point functions as Hamilton-Jacobi(-Bellman)-type partial…
The leading correction to the smoothed connected energy density-density correlation function is obtained for the large energy difference, within the context of the Gaussian Random Matrix Theory. In order to achieve this result, the…
Statistical inference may follow a frequentist approach or it may follow a Bayesian approach or it may use the minimum description length principle (MDL). Our goal is to identify situations in which these different approaches to statistical…
This paper addresses the problem of regression to reconstruct functions, which are observed with superimposed errors at random locations. We address the problem in reproducing kernel Hilbert spaces. It is demonstrated that the estimator,…