Related papers: Index Distribution of Random Matrices with an Appl…
A method to generate new classes of random matrix ensembles is proposed. Random matrices from these ensembles are Lax matrices of classically integrable systems with a certain distribution of momenta and coordinates. The existence of an…
The envelope of an elliptical Gaussian complex vector, or equivalently, the amplitude or norm of a bivariate normal random vector has application in many weather and signal processing contexts. We explicitly characterize its distribution in…
The random matrix ensembles (RMT) of quantum statistical Hamiltonian operators, e.g.Gaussian random matrix ensembles (GRME) and Ginibre random matrix ensembles (Ginibre RME), are applied to following quantum statistical systems: nuclear…
When inferring parameters from a Gaussian-distributed data set by computing a likelihood, a covariance matrix is needed that describes the data errors and their correlations. If the covariance matrix is not known a priori, it may be…
We analyse the eigenvalue structure of the replicated transfer matrix of one-dimensional disordered Ising models. In the limit of $n \rightarrow 0$ replicas, an infinite sequence of transfer matrices is found, each corresponding to a…
For random matrix ensembles with non-gaussian matrix elements that may exhibit some correlations, it is shown that centered traces of polynomials in the matrix converge in distribution to a Gaussian process whose covariance matrix is…
We apply Tsallis's q-indexed nonextensive entropy to formulate a random matrix theory (RMT), which may be suitable for systems with mixed regular-chaotic dynamics. We consider the super-extensive regime of q < 1. We obtain analytical…
The probability distribution of the conductance p(g) of disordered 2d and 3d systems is calculated by transfer matrix techniques. As expected, p(g) is Gaussian for extended states while for localized states it is log-normal. We find that at…
Symplectic ensemble of disordered non-Hermitian Hamiltonians is studied. Starting from a model with an imaginary magnetic field, we derive a proper supermatrix $\sigma $-model. The zero-dimensional version of this model corresponds to a…
The determinant of the Gaussian unitary ensemble matrix is show to be distributed as a product of independent chi random variables with parameters $1,3,3,5,5,\dots.$
The random matrix theory method of planar Gaussian diagrammatic expansion is applied to find the mean spectral density of the Hermitian equal-time and non-Hermitian time-lagged cross-covariance estimators, firstly in the form of master…
We investigate the spread complexity of a generic two-level subsystem of a larger system to analyze the influence of energy level statistics, comparing chaotic and integrable systems. Initially focusing on the nearest-neighbor level…
We review the literature on algorithms for estimating the index space in a multi-index model. The primary focus is on computationally efficient (polynomial-time) algorithms in Gaussian space, the assumptions under which consistency is…
In this paper we consider the task of estimating the non-zero pattern of the sparse inverse covariance matrix of a zero-mean Gaussian random vector from a set of iid samples. Note that this is also equivalent to recovering the underlying…
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 present a possible extension of the random-matrix theory, which is widely used to describe spectral fluctuations of chaotic systems. By considering the Kaniadakis non-Gaussian statistics, characterized by the index {\kappa}…
We consider the joint distribution of real and imaginary parts of eigenvalues of random matrices with independent entries with mean zero and unit variance. We prove the convergence of this distribution to the uniform distribution on the…
A Gaussian fluctuation formula is proved for linear statistics of complex random matrices in the case that the statistic is rotationally invariant. For a general linear statistic without this symmetry, Coulomb gas theory is used to predict…
We derive exact analytic expressions for the distributions of eigenvalues and singular values for the product of an arbitrary number of independent rectangular Gaussian random matrices in the limit of large matrix dimensions. We show that…
We review methods to calculate eigenvalue distributions of products of large random matrices. We discuss a generalization of the law of free multiplication to non-Hermitian matrices and give a couple of examples illustrating how to use…