相关论文: Products of Random Matrices

In this review we summarise recent results for the complex eigenvalues and singular values of finite products of finite size random matrices, their correlation functions and asymptotic limits. The matrices in the product are taken from…

We show the density of eigenvalues for three classes of random matrix ensembles is determinantal. First we derive the density of eigenvalues of product of $k$ independent $n\times n$ matrices with i.i.d. complex Gaussian entries with a few…

Random matrix theory has played an important role in various areas of pure mathematics, mathematical physics, and machine learning. From a practical perspective of data science, input data are usually normalized prior to processing. Thus,…

Let $X$ and $Y$ be independent variance-gamma random variables with zero location parameter; then the exact probability density function of the product $XY$ is derived. Some basic distributional properties are also derived, including…

There are infinite processes (matrix products, continued fractions, $(r,s)$-matrix continued fractions, recurrence sequences) which, under certain circumstances, do not converge but instead diverge in a very predictable way. We give a…

We consider matrix products of the form $A_1(A_2A_2)^\top\ldots(A_{m}A_{m}^\top)A_{m+1}$, where $A_i$ are normalized random Fourier-Walsh matrices. We identify an interesting polynomial scaling regime when the operator norm of the expected…

Consider a stochastic matrix $P$ and diagonal matrix $D.$ In this work, we introduce Tilted matrices. A Tilted matrix is the product $D'PD$, where $D'$ is a diagonal normalization that makes the product stochastic. We then provide several…

We establish, under a moment matching hypothesis, the local universality of the correlation functions associated with products of $M$ independent iid random matrices, as $M$ is fixed, and the sizes of the matrices tend to infinity. This…

In this paper we consider the product of a singular Wishart random matrix and a singular normal random vector. A very useful stochastic representation is derived for this product, using which the characteristic function of the product and…

Products and sums of random matrices have seen a rapid development in the past decade due to various analytical techniques available. Two of these are the harmonic analysis approach and the concept of polynomial ensembles. Very recently, it…

The two-matrix model is defined on pairs of Hermitian matrices $(M_1,M_2)$ of size $n\times n$ by the probability measure $$\frac{1}{Z_n} \exp\left(\textrm{Tr} (-V(M_1)-W(M_2)+\tau M_1M_2)\right)\ dM_1\ dM_2, $$ where $V$ and $W$ are given…

We investigate the product of $n$ complex non-Hermitian, independent random matrices, each of size $N\times N$ in the class of elliptic matrices, with independent identically distributed entries. The joint probability distribution of the…

Matrix determinants play an important role in data analysis, in particular when Gaussian processes are involved. Due to currently exploding data volumes, linear operations - matrices - acting on the data are often not accessible directly…

Random matrices formed from i.i.d. standard real Gaussian entries have the feature that the expected number of real eigenvalues is non-zero. This property persists for products of such matrices, independently chosen, and moreover it is…

I present here some results on the statistical behaviour of large random matrices in an ensemble where the probability distribution is not a function of the eigenvalues only. The perturbative expansion can be cast in a closed form and the…

It is known that every complex square matrix with nonnegative determinant is the product of positive semi-definite matrices. There are characterizations of matrices that require two or five positive semi-definite matrices in the product.…

We prove that the distribution of the product of two correlated normal random variables with arbitrary means and arbitrary variances is infinitely divisible. We also obtain exact formulas for the probability density function of the sum of…

A generalized definition of the determinant of matrices is given, which is compatible with the usual determinant for square matrices and keeps many important properties, such as being an alternating multilinear function, keeping…

The paper deals with the convergence properties of the products of random (row-)stochastic matrices. The limiting behavior of such products is studied from a dynamical system point of view. In particular, by appropriately defining a dynamic…

Products of random $2\times 2$ matrices exhibit Gaussian fluctuations around almost surely convergent Lyapunov exponents. In this paper, the distribution of the random matrices is supported by a small neighborhood of order $\lambda>0$ of…