Related papers: Eigenvalue Density of Correlated Complex Random Wi…
We consider non-Hermitian random matrices $X \in \mathbb{C}^{n \times n}$ with general decaying correlations between their entries. For large $n$, the empirical spectral distribution is well approximated by a deterministic density,…
We use free probability to compute the limiting spectral properties of the harmonic mean of $n$ i.i.d. Wishart random matrices $\mathbf{W}_i$ whose limiting aspect ratio is $\gamma \in (0,1)$ when $\mathbb{E}[\mathbf{W}_i] = \mathbf{I}$. We…
The distribution of eigenvalues of N times N random matrices in the limit N to infinity is the solution to a variational principle that determines the ground state energy of a confined fluid of classical unit charges. This fact is a…
The Wishart model of random covariance or correlation matrices continues to find ever more applications as the wealth of data on complex systems of all types grows. The heavy tails often encountered prompt generalizations of the Wishart…
We propose a new method for PolSAR (Polarimetric Synthetic Aperture Radar) imagery classification based on stochastic distances in the space of random matrices obeying complex Wishart distributions. Given a collection of prototypes…
Recent work has explored data thinning, a generalization of sample splitting that involves decomposing a (possibly matrix-valued) random variable into independent components. In the special case of a $n \times p$ random matrix with…
We develop an efficient algorithm for sampling the eigenvalues of random matrices distributed according to the Haar measure over the orthogonal or unitary group. Our technique samples directly a factorization of the Hessenberg form of such…
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 develop a theoretical approach to compute the conditioned spectral density of $N \times N$ non-invariant random matrices in the limit $N \rightarrow \infty$. This large deviation observable, defined as the eigenvalue distribution…
Quantifying the eigenvalue spectra of large random matrices allows one to understand the factors that contribute to the stability of dynamical systems with many interacting components. This work explores the effect that the interaction…
We discuss a practical method to determine the eigenvalue spectrum of the empirical correlation matrix. The method is based on the analysis of the behavior of a conformal map at a critical horizon which is defined as a border line of the…
We consider an ensemble of large non-Hermitian random matrices of the form $\hat{H}+i\hat{A}_s$, where $\hat{H}$ and $\hat{A}_s$ are Hermitian statistically independent random $N\times N$ matrices. We demonstrate the existence of a new…
Nowadays, strict finite size effects must be taken into account in condensed matter problems when treated through models based on lattices or graphs. On the other hand, the cases of directed bonds or links are known as highly relevant, in…
We study the $k$-largest eigenvalues of heavy-tailed sample covariance matrices of the form $\bX\bX^\T$ in an asymptotic framework, where the dimension of the data and the sample size tend to infinity. To this end, we assume that the rows…
We study universal traits which emerge both in real-world complex datasets, as well as in artificially generated ones. Our approach is to analogize data to a physical system and employ tools from statistical physics and Random Matrix Theory…
The noncentral Wishart distribution has become more mainstream in statistics as the prevalence of applications involving sample covariances with underlying multivariate Gaussian populations as dramatically increased since the advent of…
Statistical properties of ensembles of random density matrices are investigated. We compute traces and von Neumann entropies averaged over ensembles of random density matrices distributed according to the Bures measure. The eigenvalues of…
The complex Wishart ensemble is the statistical ensemble of $M \times N$ complex random matrices with $M \geq N$ such that the real and imaginary parts of each element are given by independent standard normal variables. The Marcenko--Pastur…
The scaled complex Wishart distribution is a widely used model for multilook full polarimetric SAR data whose adequacy has been attested in the literature. Classification, segmentation, and image analysis techniques which depend on this…
We determine the density of eigenvalues of the scattering matrix of the Schrodinger operator with a short range potential in the high energy asymptotic regime. We give an explicit formula for this density in terms of the X-ray transform of…