相关论文: Spectral analysis of large dimensional Chatterjee'…

In the current paper we consider a Wigner matrix and consider an analytic function of polynomial growth on a set containing the support of the semicircular law in its interior. We prove that the linear spectral statistics corresponding to…

Recently, QCD Dirac spectra have been obtained for reasonably large lattices. We argue that correlations of these spectra are universal and can be obtained from a random matrix model with the global symmetries of QCD. Analytical arguments…

Rank correlations have found many innovative applications in the last decade. In particular, suitable rank correlations have been used for consistent tests of independence between pairs of random variables. Using ranks is especially…

We discuss spectral correlations in coarse-grained chaotic two-dimensional CFTs with large central charge. We study a partition function describing the dense part of the spectrum of primary states in a way that disentangles the chaotic…

This paper proposes a nonparametric test of pairwise independence of one random variable from a large pool of other random variables. The test statistic is the maximum of several Chatterjee's rank correlations and critical values are…

Chatterjee (2021)'s ingenious approach to estimating a measure of dependence first proposed by Dette et al. (2013) based on simple rank statistics has quickly caught attention. This measure of dependence has the unusual property of being…

We investigate the spectral distribution of large sample covariance matrices with independent columns and entries in the columns that stem from Markov chains. We characterize the limiting spectral densities by their moments.…

We analyze the asymptotic fluctuations of linear eigenvalue statistics of random centrosymmetric matrices with i.i.d. entries. We prove that for a complex analytic test function, the centered and normalized linear eigenvalue statistics of…

In this paper, we show that the largest and smallest eigenvalues of a sample correlation matrix stemming from $n$ independent observations of a $p$-dimensional time series with iid components converge almost surely to $(1+\sqrt{\gamma})^2$…

We study the asymptotic of the spectral distribution for large empirical covariance matrices composed of independent Multifractal Random Walk processes. The asymptotic is taken as the observation lag shrinks to 0. In this setting, we show…

We show that correlation matrices with particular average and variance of the correlation coefficients have a notably restricted spectral structure. Applying geometric methods, we derive lower bounds for the largest eigenvalue and the…

The wave propagation in random medium plays a critical role in optics and quantum physics. Multiple scattering of coherent wave in a random medium determines the transport procedure. Brownian motions of the scatterers perturb each…

This paper is the second of a series devoted to the study of the dynamics of the spectrum of large random matrices. We study general extensions of the partial differential equation arising to characterize the limit spectral measure of the…

We place ourselves in the setting of high-dimensional statistical inference where the number of variables $p$ in a dataset of interest is of the same order of magnitude as the number of observations $n$. We consider the spectrum of certain…

In this article, we consider the complete independence test of high-dimensional data. Based on Chatterjee coefficient, we pioneer the development of quadratic test and extreme value test which possess good testing performance for…

Recently, Chernozhukov, Chetverikov, and Kato [Ann. Statist. 42 (2014) 1564--1597] developed a new Gaussian comparison inequality for approximating the suprema of empirical processes. This paper exploits this technique to devise sharp…

We derive the Marchenko-Pastur (MP) law for sample covariance matrices of the form $V_n=\frac{1}{n}XX^T$, where $X$ is a $p\times n$ data matrix and $p/n\to y\in(0,\infty)$ as $n,p \to \infty$. We assume the data in $X$ stems from a…

We study the joint spectral properties of two coupled random matrices $H^{(1)}$ and $H^{(2)}$, which are either real symmetric or complex Hermitian. The entries of these matrices exhibit polynomially decaying correlations, both within each…

We study the limiting spectral distribution of quantum channels whose Kraus operators are sampled as $n\times n$ random Hermitian matrices satisfying certain assumptions. We show that when the Kraus rank goes to infinity with n, the…

This paper discusses fluctuations of linear spectral statistics of high-dimensional sample covariance matrices when the underlying population follows an elliptical distribution. Such population often possesses high order correlations among…