Related papers: Laguerre Process and Generalised Hartman-Watson La…
Quadratic variations of Gaussian processes play important role in both stochastic analysis and in applications such as estimation of model parameters, and for this reason the topic has been extensively studied in the literature. In this…
Random matrix theory has become a cornerstone in modern statistics and data science, providing fundamental tools for understanding high-dimensional covariance structures. Within this framework, the Wishart matrix plays a central role in…
We consider Hermite and Laguerre $\beta$-ensembles of large $N\times N$ random matrices. For all $\beta$ even, corrections to the limiting global density are obtained, and the limiting density at the soft edge is evaluated. We use the…
We consider the asymptotics of various estimators based on a large sample of branching trees from a critical multi-type Galton-Watson process, as the sample size increases to infinity. The asymptotics of additive functions of trees, such as…
If you take a superposition of n IID copies of a point process and thin that by a factor of 1/n, then the resulting process tends to a Poisson point process as n tends to infinity. We give a simple proof of this result that highlights its…
The distribution function for the first eigenvalue spacing in the Laguerre unitary ensemble of finite size may be expressed in terms of a solution of the fifth Painleve transcendent. The generating function of a certain discontinuous linear…
The infinite two-sided loop-erased random walk (LERW) is a measure on infinite self-avoiding walks that can be viewed as giving the law of the `middle part' of an infinite LERW loop going through 0 and infinity. In this note we derive…
Recent work of Bornemann has uncovered hitherto hidden integrable structures relating to the asymptotic expansion of quantities at the soft edge of Gaussian and Laguerre random matrix ensembles. These quantities are spacing distributions…
We study gravitational wave production at strong first order phase transitions, with large-scale, long-running simulations of a system with a scalar order parameter and a relativistic fluid. One transition proceeds by detonations with…
The Fourier transforms of Laguerre functions play the same canonical role in wavelet analysis as do the Hermite functions in Gabor analysis. We will use them as analyzing wavelets in a similar way the Hermite functions were recently by K.…
We study the distribution of eigenvalues of almost-Hermitian random matrices associated with the classical Gaussian and Laguerre unitary ensembles. In the almost-Hermitian setting, which was pioneered by Fyodorov, Khoruzhenko and Sommers in…
Limit behaviour of temporal and contemporaneous aggregations of independent copies of a stationary multitype Galton-Watson branching process with immigration is studied in the so-called iterated and simultaneous cases, respectively. In both…
Using Beck and Cohen's superstatistics, we introduce in a systematic way a family of generalised Wishart-Laguerre ensembles of random matrices with Dyson index $\beta$ = 1,2, and 4. The entries of the data matrix are Gaussian random…
We present a simple Coulomb gas method to calculate analytically the probability of rare events where the maximum eigenvalue of a random matrix is much larger than its typical value. The large deviation function that characterizes this…
Hawkes process is a self-exciting point process with clustering effect whose intensity depends on its entire past history. It has wide applications in neuroscience, finance and many other fields. In this paper, we obtain a functional…
We derive quantitative bounds on the rate of convergence in $L^1$ Wasserstein distance of general M-estimators, with an almost sharp (up to a logarithmic term) behavior in the number of observations. We focus on situations where the…
We classify integrable Hamiltonian equations in 3D with the Hamiltonian operator d/dx, where the Hamiltonian density h(u, w) is a function of two variables: dependent variable u and the non-locality w such that w_x=u_y. Based on the method…
We define an indefinite Wishart matrix as a matrix of the form A=W^{T}W\Sigma, where \Sigma is an indefinite diagonal matrix and W is a matrix of independent standard normals. We focus on the case where W is L by 2 which has engineering…
We apply the Linear Logarithmic Relaxation (LLR) method, which generalizes the Wang-Landau algorithm to quantum systems with continuous degrees of freedom, to the fermionic Hubbard model with repulsive interactions on the honeycomb lattice.…
We prove a law of large numbers and functional central limit theorem for a class of multivariate Hawkes processes with time-dependent reproduction rate. We address the difficulties induced by the use of non-convolutive Volterra processes by…