Related papers: Asymptotic Freeness of Random Permutation Matrices…
We investigate random density matrices obtained by partial tracing larger random pure states. We show that there is a strong connection between these random density matrices and the Wishart ensemble of random matrix theory. We provide…
Associated to any complex Wishart matrix $W$ of parameters $(dn,dm)$ and any linear map $\varphi:M_n(\mathbb C)\to M_n(\mathbb C)$ is the "block-modified" matrix $\tilde{W}=(id\otimes\varphi)W$. Following some previous work with Nechita, we…
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…
We present a combinatorial approach to the infinitesimal distribution of the Gaussian orthogonal ensemble (GOE). In particular we show how the infinitesimal moments are described by non-crossing partitions, but not of type B. We demonstrate…
Voiculescu's notion of asymptotic free independence is known for a large class of random matrices including independent unitary invariant matrices. This notion is extended for independent random matrices invariant in law by conjugation by…
We study the joint distribution of SYK Hamiltonians for different systems with specified overlaps. We show that, in the large-system limit, their joint distribution converges in distribution to a mixed $q$-Gaussian system. We explain that…
We establish a large deviation principle for the empirical spectral measure of a sample covariance matrix with sub-Gaussian entries, which extends Bordenave and Caputo's result for Wigner matrices having the same type of entries [7]. To…
A central tool in the study of nonhomogeneous random matrices, the noncommutative Khintchine inequality, yields a nonasymptotic bound on the spectral norm of general Gaussian random matrices $X=\sum_i g_i A_i$ where $g_i$ are independent…
In this paper we consider the product of a singular Wishart random matrix and a singular normal random vector. A very useful stochastic representation is derived for this product, using which the characteristic function of the product and…
The random variable $1+z_1+z_1z_2+\dots$ appears in many contexts and was shown by Kesten to exhibit a heavy tail distribution. We consider natural extensions of this variable and its associated recursion to $N \times N$ matrices either…
Gaussian covariance graph models encode marginal independence among the components of a multivariate random vector by means of a graph $G$. These models are distinctly different from the traditional concentration graph models (often also…
The model of heavy Wigner matrices generalizes the classical ensemble of Wigner matrices: the sub-diagonal entries are independent, identically distributed along to and out of the diagonal, and the moments its entries are of order 1/N,…
We study the distribution of singular values of product of random matrices pertinent to the analysis of deep neural networks. The matrices resemble the product of the sample covariance matrices, however, an important difference is that the…
We find the asymptotic spectral distribution of random Kummer matrix. Then we formulate and prove a~free analogue of HV independence property, which is known for classical Kummer and Gamma random variables and for Kummer and Wishart…
We consider large non-Hermitian real or complex random matrices $X$ with independent, identically distributed centred entries. We prove that their local eigenvalue statistics near the spectral edge, the unit circle, coincide with those of…
In arXiv:1410.7268v3, the authors consider eigenvalues of overlapping Wishart matrices and prove that its fluctuations asymptotically convergence to the Gaussian free field. In this brief note, their result is extended to show that when the…
Consider an $N\times N$ hermitian random matrix with independent entries, not necessarily Gaussian, a so called Wigner matrix. It has been conjectured that the local spacing distribution, i.e. the distribution of the distance between…
We are interested in two random matrix ensembles related to permutations: the ensemble of permutation matrices following Ewens' distribution of a given parameter $\theta >0$, and its modification where entries equal to $1$ in the matrices…
In recent years the Rosenzweig--Porter (RP) ensemble, obtained by adding a diagonal matrix with independent and identically distributed elements to a Gaussian random matrix, has been widely used as a minimal model for the emergence of…
We generalize the following univariate characterization of the Kummer and Gamma distributions to the cone of symmetric positive definite matrices: let $X$ and $Y$ be independent, non-degenerate random variables valued in $(0, \infty)$, then…