Related papers: Multiplicative free Convolution and Information-Pl…
We study the analogue of Kummer distribution in free probability. We prove characterization of free-Kummer and free Poisson distributions by freeness properties together with some assumptions about conditional moments. Our main tools are…
We propose a technique for calculating and understanding the eigenvalue distribution of sums of random matrices from the known distribution of the summands. The exact problem is formidably hard. One extreme approximation to the true density…
We motivate and use the concept of free random variables for the studies of the de-pinning transition of flux lines in superconductors as recently discussed by Hatano and Nelson. We derive analytical conditions for the critical points of…
Given a matrix of distribution functions and a quasi-stochastic matrix, i.e. an irreducible nonnegative matrix with maximal eigenvalue one and associated unique positive left and right eigenvectors, the article studies the properties of an…
We follow a stream of the history of positive matrices and positive functionals, as applied to algebraic sums of squares decompositions, with emphasis on the interaction between classical moment problems, function theory of one or several…
We consider a new class of non-Hermitian random matrices, namely the ones which have the form of sums of freely independent terms involving unitary matrices. To deal with them, we exploit the recently developed quaternion technique. After…
We solve two longstanding major problems in Free Probability. This is achieved by generalising the theory to one with values in arbitrary commutative algebras. We prove the existence of the multi-variable $S$-transform, and show that it is…
Several numerical evaluations of the density and distribution of convolution of independent gamma variables are compared in their accuracy and speed. In application to renewal processes, an efficient formula is derived for the probability…
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…
Let $\mu$ be a compactly supported probability measure on the real line. Bercovici-Voiculescu and Nica-Speicher proved the existence of a free convolution power $\mu^{\boxplus k}$ for any real $k \geq 1$. The purpose of this short note is…
Computing eigenvalues of very large matrices is a critical task in many machine learning applications, including the evaluation of log-determinants, the trace of matrix functions, and other important metrics. As datasets continue to grow in…
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…
We prove that independent rectangular random matrices, when embedded in a space of larger square matrices, are asymptotically free with amalgamation over a commutative finite dimensional subalgebra $D$ (under an hypothesis of unitary…
In a previous paper (called "Rectangular random matrices. Related covolution"), we defined, for $\lambda \in [0,1]$, the rectangular free convolution with ratio $\lambda$. Here, we investigate the related notion of infinite divisiblity,…
In this work we detail the application of a fast convolution algorithm computing high dimensional integrals to the context of multiplicative noise stochastic processes. The algorithm provides a numerical solution to the problem of…
We analyze gene co-expression network under the random matrix theory framework. The nearest neighbor spacing distribution of the adjacency matrix of this network follows Gaussian orthogonal statistics of random matrix theory (RMT). Spectral…
We consider the eigenvalues and eigenvectors of finite, low rank perturbations of random matrices. Specifically, we prove almost sure convergence of the extreme eigenvalues and appropriate projections of the corresponding eigenvectors of…
We study the eigenvalue distribution of a GUE matrix with a variance profile that is perturbed by an additive random matrix that may possess spikes. Our approach is guided by Voiculescu's notion of freeness with amalgamation over the…
We introduce the notion of a conditionally free product and conditionally free convolution. We describe this convolution both from a combinatorial point of view, by showing its connection with the lattice of non-crossing partitions, and…
We show that finite rank perturbations of certain random matrices fit in the framework of infinitesimal (type B) asymptotic freeness. This can be used to explain the appearance of free harmonic analysis (such as subordination functions…