相关论文: Quadratic form of heavy-tailed self-normalized ran…

Let $X_N$ be an $N\ts N$ random symmetric matrix with independent equidistributed entries. If the law $P$ of the entries has a finite second moment, it was shown by Wigner \cite{wigner} that the empirical distribution of the eigenvalues of…

Let (X_{jk})_{j,k>=1} be i.i.d. complex random variables such that |X_{jk}| is in the domain of attraction of an alpha-stable law, with 0< alpha <2. Our main result is a heavy tailed counterpart of Girko's circular law. Namely, under some…

These expository notes are centered around the circular law theorem, which states that the empirical spectral distribution of a nxn random matrix with i.i.d. entries of variance 1/n tends to the uniform law on the unit disc of the complex…

In random matrix theory, Marchenko-Pastur law states that random matrices with independent and identically distributed entries have a universal asymptotic eigenvalue distribution under large dimension limit, regardless of the choice of…

We study the statistics of the largest eigenvalue lambda_max of N x N random matrices with unit variance, but power-law distributed entries, P(M_{ij})~ |M_{ij}|^{-1-mu}. When mu > 4, lambda_max converges to 2 with Tracy-Widom fluctuations…

The celebrated Marchenko-Pastur theorem gives the asymptotic spectral distribution of sums of random, independent, rank-one projections. Its main hypothesis is that these projections are more or less uniformly distributed on the first…

We consider the complex eigenvalues of a Wishart type random matrix model $X=X_1 X_2^*$, where two rectangular complex Ginibre matrices $X_{1,2}$ of size $N\times (N+\nu)$ are correlated through a non-Hermiticity parameter $\tau\in[0,1]$.…

We consider the random reversible Markov kernel K obtained by assigning i.i.d. nonnegative weights to the edges of the complete graph over n vertices and normalizing by the corresponding row sum. The weights are assumed to be in the domain…

Consider a $p$-dimensional population ${\mathbf x} \in\mathbb{R}^p$ with iid coordinates in the domain of attraction of a stable distribution with index $\alpha\in (0,2)$. Since the variance of ${\mathbf x}$ is infinite, the sample…

Let $X_N$ be a $N\times N$ matrix whose entries are i.i.d. complex random variables with mean zero and variance $\frac{1}{N}$. We study the asymptotic spectral distribution of the eigenvalues of the covariance matrix $X_N^*X_N$ for…

Recent theoretical and empirical successes in deep learning, including the celebrated neural scaling laws, are punctuated by the observation that many objects of interest tend to exhibit some form of heavy-tailed or power law behavior. In…

We study the limiting spectral distribution of large-dimensional sample covariance matrices associated with symmetric random tensors formed by $\binom{n}{d}$ different products of $d$ variables chosen from $n$ independent standardized…

One-rank perturbations of Wigner matrices have been closely studied: let $P=\frac{1}{\sqrt{n}}A+\theta vv^T$ with $A=(a_{ij})_{1 \leq i,j \leq n} \in \mathbb{R}^{n \times n}$ symmetric, $(a_{ij})_{1 \leq i \leq j \leq n}$ i.i.d. with…

We study the asymptotic behavior of permanents of $n \times n$ random matrices $A$ with positive entries. We assume that $A$ has either i.i.d. entries or is a symmetric matrix with the i.i.d. upper triangle. Under the assumption that…

Bandeira et al. (2017) show that the eigenvalues of the Kendall correlation matrix of $n$ i.i.d. random vectors in $\mathbb{R}^p$ are asymptotically distributed like $1/3 + (2/3)Y_q$, where $Y_q$ has a Mar\v{c}enko-Pastur law with parameter…

This paper studies the asymptotic spectral properties of the sample covariance matrix for high dimensional compositional data, including the limiting spectral distribution, the limit of extreme eigenvalues, and the central limit theorem for…

We study the regularity of the law of a quadratic form $Q(X,X)$, evaluated in a sequence $X = (X_{i})$ of independent and identically distributed random variables, when $X_{1}$ can be expressed as a sufficiently smooth function of a…

We consider large Hermitian matrices whose entries are defined by evaluating the exponential function along orbits of the skew-shift $\binom{j}{2} \omega+jy+x \mod 1$ for irrational $\omega$. We prove that the eigenvalue distribution of…

We prove a local law in the bulk of the spectrum for random Gram matrices $XX^*$, a generalization of sample covariance matrices, where $X$ is a large matrix with independent, centered entries with arbitrary variances. The limiting…

We introduce a family of coefficients based on U-statistics that generalize the notion of correlation and explore their properties in the large dimensional multivariate case, showing that in the null case of uncorrelated variables, the…