Related papers: Eigenvalues of Hermite and Laguerre ensembles: Lar…
We study the limiting behavior of Gaussian beta ensembles in the regime where $\beta n = const$ as $n \to \infty$. The results are (1) Gaussian fluctuations for linear statistics of the eigenvalues, and (2) Poisson convergence of the bulk…
The Gaussian and Laguerre orthogonal ensembles are fundamental to random matrix theory, and the marginal eigenvalue distributions are basic observable quantities. Notwithstanding a long history, a formulation providing high precision…
We consider the asymptotics of the difference between the empirical measures of the $\beta$-Hermite tridiagonal matrix and its minor. We prove that this difference has a deterministic limit and Gaussian fluctuations. Through a…
We compute the joint eigenvalue distribution for the rank one Hermitian and non-Hermitian perturbations of chiral Gaussian $\beta$-ensembles ($\beta>0$) of random matrices.
We consider the beta-Laguerre ensemble, a family of distributions generalizing the joint eigenvalue distribution of the Wishart random matrices. We show that the bulk scaling limit of these ensembles exists for all beta>0 for a general…
A fundamental question in random matrix theory is to quantify the optimal rate of convergence to universal laws. We take up this problem for the Laguerre $\beta$ ensemble, characterised by the Dyson parameter $\beta$, and the Laguerre…
We consider the large deviations of the smallest eigenvalue of the Wishart-Laguerre Ensemble. Using the Coulomb gas picture we obtain rate functions for the large fluctuations to the left and the right of the hard edge. Our findings are…
We consider a class of sparse random matrices, which includes the adjacency matrix of Erd\H{o}s-R\'enyi graphs $\mathcal G(N,p)$ for $p \in [N^{\varepsilon-1},N^{-\varepsilon}]$. We identify the joint limiting distributions of the…
$N$-dimensional Bessel and Jacobi processes describe interacting particle systems with $N$ particles and are related to $\beta$-Hermite, $\beta$-Laguerre, and $\beta$-Jacobi ensembles. For fixed $N$ there exist associated weak limit…
We compute the exact and limiting smallest eigenvalue distributions for two classes of $\beta$-Jacobi ensembles not covered by previous studies. In the general $\beta$ case, these distributions are given by multivariate hypergeometric…
We give a short, operator-theoretic proof of the asymptotic independence (including a first correction term) of the minimal and maximal eigenvalue of the n \times n Gaussian Unitary Ensemble in the large matrix limit n \to \infty. This is…
The properties of the first (largest) eigenvalue and its eigenvector (first eigenvector) are investigated for large sparse random symmetric matrices that are characterized by bimodal degree distributions. In principle, one should be able to…
In this work, we introduce matrix-valued diffusion processes which describe the non-equilibrium situation of the matrix models for the beta-Hermite and the beta-Laguerre ensembles. We also study the corresponding spectral measure process…
We consider the single eigenvalue fluctuations of random matrices of general Wigner-type, under a one-cut assumption on the density of states. For eigenvalues in the bulk, we prove that the asymptotic fluctuations of a single eigenvalue…
Two-term asymptotic formulae for the probability distribution functions for the smallest eigenvalue of the Jacobi $ \beta $-Ensembles are derived for matrices of large size in the r\'egime where $ \beta > 0 $ is arbitrary and one of the…
We study the fluctuations of eigenvalues from a class of Wigner random matrices that generalize the Gaussian orthogonal ensemble. We begin by considering an $n \times n$ matrix from the Gaussian orthogonal ensemble (GOE) or Gaussian…
We consider the limiting location and limiting distribution of the largest eigenvalue in real symmetric ($\beta$ = 1), Hermitian ($\beta$ = 2), and Hermitian self-dual ($\beta$ = 4) random matrix models with rank 1 external source. They are…
In this article, the joint fluctuations of the extreme eigenvalues and eigenvectors of a large dimensional sample covariance matrix are analyzed when the associated population covariance matrix is a finite-rank perturbation of the identity…
For the generalized Jacobi, Laguerre and Hermite polynomials $P_n^{(\alpha_n, \beta_n)} (x), L_n^{(\alpha_n)} (x),$\break $H_n^{(\gamma_n)} (x)$ the limit distributions of the zeros are found, when the sequences $\alpha_n$ or $\beta_n$ tend…
Given a large sample covariance matrix $S_N=\frac 1n\Gamma_N^{1/2}Z_N Z_N^*\Gamma_N^{1/2}\, ,$ where $Z_N$ is a $N\times n$ matrix with i.i.d. centered entries, and $\Gamma_N$ is a $N\times N$ deterministic Hermitian positive semidefinite…