相关论文: Free Random Levy Matrices

We apply random matrix theory to derive spectral density of large sample covariance matrices generated by multivariate VMA(q), VAR(q) and VARMA(q1,q2) processes. In particular, we consider a limit where the number of random variables N and…

We investigate the random continuous trees called L\'evy trees, which are obtained as scaling limits of discrete Galton-Watson trees. We give a mathematically precise definition of these random trees as random variables taking values in the…

A feature of certain ensembles of random matrices is that the corresponding measure is invariant under conjugation by unitary matrices. Study of such ensembles realised by matrices with Gaussian entries leads to statistical quantities…

The $\mathcal{A}$-tracial algebras are algebras endowed with multi-linear forms, compatible with the product, and indexed by partitions. Using the notion of $\mathcal{A}$-cumulants, we define and study the $\mathcal{A}$-freeness property…

This paper develops a theory for completely random measures in the framework of free probability. A general existence result for free completely random measures is established, and in analogy to the classical work of Kingman it is proved…

We study a one-dimensional model for granular gases, the so-called Inelastic Maxwell Model. We show theoretically the existence of stationary solutions of the unforced case, that are characterized by an infinite average energy per particle.…

Dyson has shown an equivalence between infinite-range Coulomb gas models and classical random matrix ensembles for the study of eigenvalue statistics. In this paper, we introduce finite-range Coulomb gas (FRCG) models as a generalization of…

We study the electromagnetic transmission $T$ through one-dimensional (1D) photonic heterostructures whose random layer thicknesses follow a long-tailed distribution --L\'evy-type distribution. Based on recent predictions made for 1D…

Heavy-tailed distributions naturally occur in many real life problems. Unfortunately, it is typically not possible to compute inference in closed-form in graphical models which involve such heavy-tailed distributions. In this work, we…

In this paper, we derive comparison results for terminal values of $d$-dimensional special semimartingales and also for finite-dimensional distributions of multivariate L\'{e}vy processes. The comparison is with respect to nondecreasing,…

We investigate the stationary diffusion equation with a coefficient given by a (transformed) L\'evy random field. L\'evy random fields are constructed by smoothing L\'evy noise fields with kernels from the Mat\'ern class. We show that…

Invariant ensemble, which are characterised by the joint distribution of eigenvalues $P(\lambda_1,\ldots,\lambda_N)$, play a central role in random matrix theory. We consider the truncated linear statistics $L_K = \sum_{n=1}^K f(\lambda_n)$…

To obtain further insight on possible power law generalizations of Boltzmann equilibrium concepts, a stochastic collision model is investigated. We consider the dynamics of a tracer particle of mass $M$, undergoing elastic collisions with…

This paper considers how to measure the magnitude of the sum of independent random variables in several ways. We give a formula for the tail distribution for sequences that satisfy the so called Levy property. We then give a connection…

A dynamical model based on a continuous addition of colored shot noises is presented. The resulting process is colored and non-Gaussian. A general expression for the characteristic function of the process is obtained, which, after a scaling…

L\'evy-type walks with correlated jumps, induced by the topology of the medium, are studied on a class of one-dimensional deterministic graphs built from generalized Cantor and Smith-Volterra-Cantor sets. The particle performs a standard…

In this paper we consider an extension of the Rosenzweig-Porter (RP) model, the L\'evy-RP (L-RP) model, in which the off-diagonal matrix elements are broadly distributed, providing a more realistic benchmark to develop an effective…

We discuss non-Gaussian random matrices whose elements are random variables with heavy-tailed probability distributions. In probability theory heavy tails of the distributions describe rare but violent events which usually have dominant…

We develop a method that relates the truncated cumulant-function of the fourth order with the L\'evian cumulant-function. This gives us explicit formulas for the L\'evy-parameters, which allow a real-time analysis of the state of a…

The tail behavior of aggregates of heavy-tailed random vectors is known to be determined by the so-called principle of "one large jump'', be it for finite sums, random sums, or, L\'evy processes. We establish that, in fact, a more general…