相关论文: Random matrix theory and robust covariance matrix …

Let $\mathbf X=(X_{jk})$ denote $n\times p$ random matrix with entries $X_{jk}$, which are independent for $1\le j\le n,1\le k\le p$. We consider the rate of convergence of empirical spectral distribution function of the matrix $\mathbf…

We propose elliptical graphical models based on conditional uncorrelatedness as a general- ization of Gaussian graphical models by letting the population distribution be elliptical instead of normal, allowing the fitting of data with…

We apply Tsallis's q-indexed nonextensive entropy to formulate a random matrix theory (RMT), which may be suitable for systems with mixed regular-chaotic dynamics. We consider the super-extensive regime of q < 1. We obtain analytical…

Random matrix theory is finding an increasing number of applications in the context of information theory and communication systems, especially in studying the properties of complex networks. Such properties include short-term and long-term…

One of the major themes of random matrix theory is that many asymptotic properties of traditionally studied distributions of random matrices are universal. We probe the edges of universality by studying the spectral properties of random…

The random matrix theory method of planar Gaussian diagrammatic expansion is applied to find the mean spectral density of the Hermitian equal-time and non-Hermitian time-lagged cross-covariance estimators, firstly in the form of master…

We present a brief overview of random matrix theory (RMT) with the objectives of highlighting the computational results and applications in financial markets as complex systems. An oft-encountered problem in computational finance is the…

Problem of long-range sound propagation in the randomly-inhomogeneous deep ocean is considered. We examine a novel approach for modeling of wave propagation, developed by K.C.Hegewisch and S.Tomsovic. This approach relies on construction of…

The joint estimation of the location vector and the shape matrix of a set of independent and identically Complex Elliptically Symmetric (CES) distributed observations is investigated from both the theoretical and computational viewpoints.…

We study random matrices whose entries are obtained by applying consistent rank correlations, such as Hoeffding's $D$, pairwise to a high-dimensional random vector with mutually independent components. Prior work has shown that, in the…

Random matrix theory (RMT) provides a successful model for quantum systems, whose classical counterpart has a chaotic dynamics. It is based on two assumptions: (1) matrix-element independence, and (2) base invariance. Last decade witnessed…

Random-matrix theory is applied to transition-rate matrices in the Pauli master equation. We study the distribution and correlations of eigenvalues, which govern the dynamics of complex stochastic systems. Both the cases of identical and 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…

High-dimensional data arise routinely in modern statistics, econometrics, finance, genomics, and machine learning. While a large body of existing methodology is developed under Gaussian or light-tailed assumptions, many real data sets…

Linear regression is a fundamental and popular statistical method. There are various kinds of linear regression, such as mean regression and quantile regression. In this paper, we propose a new one called distribution regression, which…

We investigate whether the Wigner semi-circle and Marcenko-Pastur distributions, often used for deep neural network theoretical analysis, match empirically observed spectral densities. We find that even allowing for outliers, the observed…

In this paper, we study the convergence rates of empirical spectral distribution of large dimensional quaternion sample covariance matrix. Assume that the entries of $\mathbf X_n$ ($p\times n$) are independent quaternion random variables…

This paper investigates a statistical procedure for testing the equality of two independent estimated covariance matrices when the number of potentially dependent data vectors is large and proportional to the size of the vectors, that is,…

This paper investigates and extends the computationally attractive nonparametric random coefficients estimator of Fox, Kim, Ryan, and Bajari (2011). We show that their estimator is a special case of the nonnegative LASSO, explaining its…

A connection between integrability properties and general statistical properties of the spectra of symmetric transfer matrices of the asymmetric eight-vertex model is studied using random matrix theory (eigenvalue spacing distribution and…