相关论文: Tracy--Widom limit for the largest eigenvalue of a…

We consider a more generalized spiked covariance matrix $\Sigma$, which is a general non-definite matrix with the spiked eigenvalues scattered into a few bulks and the largest ones allowed to tend to infinity. By relaxing the matching of…

Let $\bm{x}_1,\cdots,\bm{x}_n$ be a random sample of size $n$ from a $p$-dimensional population distribution, where $p=p(n)\rightarrow\infty$. Consider a symmetric matrix $W=X^\top X$ with parameters $n$ and $p$, where…

In this paper we consider the asymptotic distributions of functionals of the sample covariance matrix and the sample mean vector obtained under the assumption that the matrix of observations has a matrix-variate location mixture of normal…

In this paper, we establish the central limit theorem (CLT) for linear spectral statistics (LSS) of large-dimensional sample covariance matrix when the population covariance matrices are not uniformly bounded, which is a nontrivial…

In this paper, we consider the empirical spectral distribution of the sample correlation matrix and investigate its asymptotic behavior under mild assumptions on the data's distribution, when dimension and sample size increase at the same…

We study random normal matrix models whose eigenvalues tend to be distributed within a narrow "band" around the unit circle of width proportional to $\frac1n$, where $n$ is the size of matrices. For general radially symmetric potentials…

We consider the GUE minor process, where a sequence of GUE matrices is drawn from the corner of a doubly infinite array of i.i.d. standard normal variables subject to the symmetry constraint. From each matrix, we take its largest…

We consider a multivariate heavy-tailed stochastic volatility model and analyze the large-sample behavior of its sample covariance matrix. We study the limiting behavior of its entries in the infinite-variance case and derive results for…

Smooth linear statistics of random permutation matrices, sampled under a general Ewens distribution, exhibit an interesting non-universality phenomenon. Though they have bounded variance, their fluctuations are asymptotically non-Gaussian…

This work is concerned with finite range bounds on the variance of individual eigenvalues of random covariance matrices, both in the bulk and at the edge of the spectrum. In a preceding paper, the author established analogous results for…

The study of complex networks has been one of the most active fields in science in recent decades. Spectral properties of networks (or graphs that represent them) are of fundamental importance. Researchers have been investigating these…

We show in this note that the asymptotic spectral distribution, location and distribution of the largest eigenvalue of a large class of random density matrices coincide with that of Wishart-type random matrices using proper scaling. As an…

We solve the largest sample eigenvalue distribution problem in the rank 1 spiked model of the quaternionic Wishart ensemble, which is the first case of a statistical generalization of the Laguerre symplectic ensemble (LSE) on the soft edge.…

Consider the sample covariance matrix $$\Sigma^{1/2}XX^T\Sigma^{1/2}$$ where $X$ is an $M\times N$ random matrix with independent entries and $\Sigma$ is an $M\times M$ diagonal matrix. It is known that if $\Sigma$ is deterministic, then…

This paper is devoted to the asymptotic behavior of all eigenvalues of Symmetric (in general non Hermitian) Toeplitz matrices with moderately smooth symbols which trace out a simple loop on the complex plane line as the dimension of the…

Recent technological advances in many domains including both genomics and brain imaging have led to an abundance of high-dimensional and correlated data being routinely collected. Classical multivariate approaches like Multivariate Analysis…

Let $S_n=\frac{1}{n}X_nX_n^*$ where $X_n=\{X_{ij}\}$ is a $p\times n$ matrix with i.i.d. complex standardized entries having finite fourth moments. Let $Y_n(\mathbf {t}_1,\mathbf {t}_2,\sigma)=\sqrt{p}({\mathbf {x}}_n(\mathbf…

We discuss the eigenvalue detachment transition in terms of scaling of fluctuations in ensembles of paths located near convex boundaries of various physical nature. We consider numerically the BBP-like (Baik-Ben Arous-P\'ech\'e) transition…

We study the asymptotic eigenvalue distribution of Toeplitz matrices generated by a singular symbol. It has been conjectured by Widom that, for a generic symbol, the eigenvalues converge to the image of the symbol. In this paper we ask how…

It is becoming more and more clear that complex networks present remarkable large fluctuations. These fluctuations may manifest differently according to the given model. In this paper we re-consider hidden variable models which turn out to…