相关论文: A probabilistic computation of a Mehta integral
Computing ratios of normalizing constants plays an important role in statistical modeling. Two important examples are hypothesis testing in latent variables models, and model comparison in Bayesian statistics. In both examples, the…
We compute the intrinsic volumes of the cone of positive semidefinite matrices over the real numbers, over the complex numbers, and over the quaternions, in terms of integrals related to Mehta's integral. Several applications for the…
We describe Generalized Hermitian matrices ensemble sometimes called Chiral ensemble. We give global asymptotic of the density of eigenvalues or the statistical density. We will calculate a Laplace transform of such a density for finite…
We present a method to obtain the average and the typical value of the number of critical points of the empirical risk landscape for generalized linear estimation problems and variants. This represents a substantial extension of previous…
Formulas are derived for the average level density of deformed, or transition, Gaussian orthogonal random matrix ensembles. After some general considerations about Gaussian ensembles we derive formulas for the average level density for (i)…
As a generalization of [KMW], we introduce a higher Riemann zeta function for an abstract sequence. Then we explicitly determine its regularized product expression.
According to the classification scheme of the generalized random matrix ensembles, we present various kinds of concrete examples of the generalized ensemble, and derive their joint density functions in an unified way by one simple formula…
In this paper we investigate one Wakimoto-type construction of affine Kac-Moody algebras. We obtain a version of the regular representation, on which the affine algebra acts from the left and from the right with the sum of levels equal to…
We uncover a hidden Gaussian ensemble inside each of the three circular ensembles of random matrices, which provide novel diagrammatic rules for the calculation of moments. The matrices involved are generic complex for $\beta=2$, complex…
Statistical procedures such as Bayes factor model selection and Bayesian model averaging require the computation of normalizing constants (e.g., marginal likelihoods). These normalizing constants are notoriously difficult to obtain, as they…
The G-Wishart distribution is an essential component for the Bayesian analysis of Gaussian graphical models as the conjugate prior for the precision matrix. Evaluating the marginal likelihood of such models usually requires computing…
After providing an overview of $\theta$-expansions introduced by Chakraborty and Rao, we focus on the Gauss-Kuzmin problem for this new transformation. Actually, we complete our study on these expansions by proving a two-dimensional…
The normal or Gaussian distribution plays a prominent role in almost all fields of science. However, it is well known that the Gauss (or Euler--Poisson) integral over a finite boundary, as it is necessary for instance for the error function…
In the present paper, we derive a renormalization formula "\`a la Hardy-Littlewood" for the Gaussian exponential sums with an exact formula for the remainder term. We use this formula to describe the typical growth of the Gaussian…
We calculate the average differential entropy of a $q$-component Gaussian mixture in $\mathbb R^n$. For simplicity, all components have covariance matrix $\sigma^2 {\mathbf 1}$, while the means $\{\mathbf{W}_i\}_{i=1}^{q}$ are i.i.d.…
We use the Kac-Rice formula and results from random matrix theory to obtain the average number of critical points of a family of high-dimensional empirical loss functions, where the data are correlated $d$-dimensional Gaussian vectors,…
It is shown that the normalized fluctuations of Riemann's zeta zeros around their predicted locations follow the Gaussian law. It is also shown that fluctuations of two zeros, $\gamma _{k}$ and $\gamma _{k+x},$ with $x\sim(\log k)^{\beta}$,…
This paper provides a probabilist point of view about some results in analytic number theory. The main tool is the family of Zeta laws, which is a consolation for the non-existence of an uniform law on the set of integers. We prove the…
To complete a previous paper, the probability density functions of the center-of-gravity as positioning algorithm are derived with classical methods. These methods, as suggested by the textbook of Probability, require the preliminary…
We present some properties of measures (q-Gaussian) that orthogonalize the set of q-Hermite polynomials. We also present an algorithm for simulating i.i.d. sequences of random variables having q-Gaussian distribution.