2
votes
0answers
34 views

Random matrices whose limit gives exact Wigner surmise

Let $M$ come from an ensemble of $N\times N$ matrices. The Wigner surmise is density function $p^W_0(s)=\frac{\pi}{2}se^{-\pi s^2/4}$. From a random matrix point of view, we can write ...
9
votes
1answer
227 views

What is known about the distribution of eigenvectors of random matrices?

Let $A$ be a real asymmetric $n \times n$ matrix with i.i.d. random, zero-mean elements. What results, if any, are there for the eigenvectors of $A$? In particular: How are individual eigenvectors ...
3
votes
1answer
112 views

Two matrix Fisher distributions on SO(3)?

After the uniform distribution (normalized Haar measure), the matrix Fisher distribution seems to be the most popular probability distribution on the Lie group SO(3). The density is proportional to ...
1
vote
1answer
102 views

Invertibility of random Vandermonde matrix

Let $\kappa, d \in\mathbb{N}$ and $f$ is a uniform probability measure on $\mathcal{D} = \left[-1,1\right]^{\kappa}$. In addition, let \begin{equation*} p = p\left(\kappa,d\right) := ...
19
votes
0answers
624 views

conjectures regarding a new Renyi information quantity

In a recent paper http://arxiv.org/abs/1403.6102, we defined a quantity that we called the "Renyi conditional mutual information" and investigated several of its properties. We have some open ...
0
votes
0answers
50 views

Linear Bounds on estimation error

Consider a markov chain on discrete state space $\mathbb{S} = \left\{1,2,..,S \right\}$, with transition probability matrix defined as $A = [a_{ij}]_{S \times S}$ where $a_{ij} = ...
1
vote
0answers
46 views

Bounding Rayleigh quotioent for stochastic matrix

Suppose you have an irreducible, stochastic matrix $A$ with left Perron-Frobenius eigenvector $v$ (corresponding to the eigenvalue $1$), and suppose the next largest eigenvalue for $A$ is $\lambda$. ...
6
votes
1answer
271 views

Injectivity of matrix “fingerprint”

Consider $S$, the set of all $n\times m$ real matrices with specified row sums $(r_1,...,r_n)$, column sums $(c_1,...,c_m)$, and strictly positive entries. For any matrix $A$, define $$ ...
2
votes
1answer
68 views

Relating joint probability to norm of vector of probabilities

I have a set of Bernoulli random variables $X_1,X_2,\ldots, X_n$ and I would want to bound the joint probability $P(X_1=0,X_2=0,\ldots, X_n=0)$ using the norm $\lvert \lvert \mathbf{p}\rvert \rvert$, ...
4
votes
1answer
116 views

Weak ergodicity of nonhomogenous products of 0-1 matrices

Here is a question which probably has a negative answer, but I couldn't find any literature directly on it. Let $(A_n)$ be a sequence of rectangular 0-1 matrices (that is, the entries are restricted ...
0
votes
0answers
45 views

Distinguishing two different matrix distributions in polynomial time

I have two distributions: $\{ (f^TA + e_1, f^T(As+e) \}$ and $\{ (f^TA, f^T(As+e) + s_i \}$ where $A$ is a randomly generated $m \times n$ binary matrix $A, A_{ij} \in \{0,1\}$, $f$ and $e$ are a ...
4
votes
1answer
249 views

Full-rank rectangular matrices over GF(2)

Given positive integers $k$, $m$, $n$, let $A$ be an $m \times n$ matrix over $GF(2)$ constructed as follows. Let $X_1, \ldots, X_m$ be independent random subsets of $\{1,\ldots,n\}$ with cardinality ...
2
votes
0answers
119 views

Kullback-Leibler Divergence of Stationary Distributions of Markov chains

Consider two finite Markov chains on the same state space, both assumed to be irreducible, with transition matrices $P$ and $Q$ and associated stationary distributions $\pi$ and $\tilde \pi$. Is it ...
4
votes
0answers
225 views

Probability distribution function for singular value sum of Gaussian random matrix

Let $\mathbf{X}$ be an $N \times N$ random matrix with IID Gaussian entries. They can be standard normal, but $N$ is not large: that is $N$ $<$ 6, typically. Call its singular value decomposition ...
2
votes
1answer
179 views

Expected number of random binary vectors so that the form a basis

I would like to compute the expected number of vectors in $\mathbb{F}_2^n$ we need to draw (following a uniform distribution) so that they form a basis of $\mathbb{F}_2^n$, i.e., that we have $n$ ...
4
votes
1answer
207 views

The d-dimensional matrix with columns (1,0,0…), (1/2,1/2,0,…), (1/3,1/3,1/3,0,…),…, (1/d,1/d,…,1/d)

During the course of physics research on nonequilibirum statistical mechanics involving the theory of majorization, I have come across a linear transformation on a d-dimensional vector space that I ...
-1
votes
1answer
280 views

Rank of covariance matrix whose diagonal elements are same [closed]

Suppose A is a covariance matrix whose diagonal elements are same, i.e. $A_{1,1}=A_{2,2}=\cdots=A_{N,N}$, can we conclude that A is full rank? Suppose the absolute values of the off-diagonal elements ...
8
votes
0answers
286 views

Eigenvalues of permutations of a real matrix: how complex can they be?

This is sort of complementary to this thread. I’ll repeat the definitions here: For a matrix $M\in GL(n,\mathbb R)$, consider the $n!$ matrices obtained by permutations of the rows (say) of $M$ and ...
20
votes
4answers
1k views

Eigenvalues of permutations of a real matrix: can they all be real?

For a matrix $M\in GL(n,\mathbb R)$, consider the $n!$ matrices obtained by permutations of the rows (say) of $M$ and define the total spectrum $TS(M)$ as the union of all their spectra (counting ...
2
votes
0answers
212 views

Canonical forms for block-positive-definite matrices

Suppose we are given a block $2\times 2$ matrix that is positive-definite, and let's suppose for simplicity that the blocks along the main diagonal are the identity. So $$ \begin{bmatrix} I & X ...
9
votes
2answers
610 views

Probability of random (0,1) Toeplitz matrix being invertible

A Toeplitz matrix or diagonal-constant matrix is a matrix in which each descending diagonal from left to right is constant. What is the probability that a random $n \times n$ binary Toeplitz ...
0
votes
0answers
75 views

Convexity of a Certain Set of Covariance Matrices

Hello, My question is about a certain set of matrices being convex or not. I'll start with some preliminaries in order to define myself properly. Let $X_1,U,X_2$ be three zero-mean Gaussian random ...
27
votes
2answers
1k views

The probability for a symmetric matrix to be positive definite

Let me give a reasonable model for the question in the title. In ${\rm Sym}_n({\mathbb R})$, the positive definite matrices form a convex cone $S_n^+$. The probability I have in mind is the ratio ...
1
vote
1answer
264 views

Is there a relationship between Entropy of a fininte distrete probability distribution and the squre sum of the values of probability mass function of that distribution?

Sorry for the long title. What I mean is that for two vectors (a_1,...,a_n) and (b_1,...,b_n) with the property $a_i,b_i \geq 0 $ and $ \sum a_i =\sum b_i =1$. If $ -\sum a_ilog(a_i) > -\sum ...
0
votes
0answers
97 views

Do the Eigenvectors find by use PCA on a set of data point, a good replacement for Random Projection when I later on use L1Magic to reconstruct the sparse vector?

Concretely if I use the first k eigenvectors find by PCA with a point set A,to project another sparse vector b to k dimension subspace, then use L1-magic to recover b. Will this be better than a ...
9
votes
2answers
194 views

Iterating Random Matrix Operations

Consider the following probability measure on the integers concentrated around $0$: the probability of drawing $0$ is $\frac{1}{2}$, of drawing ($1$ or $-1$) is $\frac{1}{4}$ split evenly among the ...
3
votes
2answers
700 views

Probability of a submatrix to be full rank in a N x N Random Matrix of rank m.

Consider a random matrix $\mathbf{A} \in \mathbb{C}^{N \times N}$ of rank $m$ with $m < N$ that follows the Wishart distribution ( http://en.wikipedia.org/wiki/Wishart_distribution ). I have a ...
2
votes
0answers
166 views

Expectation of a multivariate Gaussian over a plane

For a vector $X$ which follows a multinomial Gaussian distribution $N(\vec{0},\Sigma)$, a given vector $b$, and a known scalar value $c$, I would like to calculate the expectation : $E[X|X^Tb = c]$ ...
1
vote
1answer
319 views

Lower bound on Bhattacharya distance between independent Gaussian distributions ?

I am interested in a lower bound on the Bhattacharya distance between two independent multivariate Gaussian distributions. To be precise, consider zero-mean independent Gaussian distributions ...
21
votes
0answers
949 views

Correspondence between eigenvalue distributions of random unitary and random orthogonal matrices

In the course of a physics problem (arXiv:1206.6687), I stumbled on a curious correspondence between the eigenvalue distributions of the matrix product $U\bar{U}$, with $U$ a random unitary matrix and ...
7
votes
3answers
270 views

Characterising semi-definite positiveness on vectors with non-negative entries

My problem is to characterise (or find useful information on) the cone $C$ of $N\times N$ matrices $M$ ($N\geq 1$) such that $$V^t M V\geq 0$$ for every vector $V $ with non-negative entries. Is this ...
2
votes
2answers
270 views

On Random Vectors and Eigenvectors of Symmetric Matrices

I have a question that might be answered with a pointer to some references or with some discussion. I did some searching, to no avail, but I realized that I might not have the vocabulary to form a ...
5
votes
1answer
295 views

Elementary Markov Chain Question

Are any general conditions known on a finite transition nxn matrix that ensure that there exists at least one mth root which is also a transition matrix? It is easy to construct a 3x3 , diagonally ...
27
votes
4answers
1k views

Probability of zero in a random matrix

Let $M(n,k)$ be the set of $n\times n$ matrices of nonnegative integers such that every row and every column sums to $k$. Let $P(n,k)$ be the fraction of such matrices which have no zero entries, ...
9
votes
3answers
436 views

Representing a real number as the value of a countably infinite game

Is it true that for any real number $p$ between 0 and 1, there exist finite or infinite sequences $x_m$ and $y_n$ of positive real numbers, and a finite or infinite matrix of numbers $\varphi_{mn}$ ...
1
vote
1answer
228 views

Continuous family of Markov chains

Suppose I have a family of countable state-space, discrete-time Markov chains, indexed by a parameter $r \in \mathbb{R}$. The state space is the same for all values of $r$; the transition ...
0
votes
1answer
952 views

Convergence of Eigenvalues

Suppose we have a matrix $A_n = \frac{1}{n}\sum_{i=1}^nX_i X_i^T$, where $X_i$ is a $p$-dimensional random-vector. We also know that $E(XX^T) = \Sigma_{p \times p}$. Let us denote the $j$-th largest ...
3
votes
0answers
95 views

Linear relations with small coefficients

NOTE: Slightly more general question follows my specific one at the top For $1 \leq i,j \leq n$, let $e_{ij}$ be the vector in $\mathbb{R}^{n^{2}}$ with a 1 in entry $(n-1)i + j$, and 0's everywhere ...
2
votes
0answers
270 views

Seeking the normalizing constant (or any references) for a distribution over a subset of positive definite martrices

I'm interested in a probability distribution over the set of positive definite matrices with unit diagonal elements. That is, and $X$ such that: $X \in S^{n+}, \forall_{i}X_{ii} = 1$ where $S^{n+}$ ...
4
votes
3answers
336 views

probability that a random element of Z/NZ can be written as a subset sum of others

How could one calculate the probability that any element in $\mathbb{Z}/N\mathbb{Z}$ can be written as a subset sum of $n$ random elements in $\mathbb{Z}/N\mathbb{Z}$? In other words, say I pick ...
12
votes
1answer
757 views

A Question on Random Matrices

Consider the following $n\times n$ random matrix $V_{n}$ where the $(p,q)$ entry is given by $$ V_{n}(p,q):= \frac{1}{\sqrt{n}}\exp(2\pi i(p-1) x_{q}) $$ where $x_{1},x_{2},\ldots,x_{n}$ are iid ...
2
votes
2answers
450 views

Spectral gap of a product of Markov processes

For $m \in [N] \equiv \{1,\dots, N\}$, let $Q^{(m)}$ be the generator of a (well-behaved) continuous-time Markov process on a finite state space $[n_m]$. Write $J \equiv (j_1,\dots,j_N) \in \prod_m ...
1
vote
4answers
845 views

Prove: if a1,…,an are uniformly distributed unit vectors, then a1*a1'+…+an*an'=n/2*I

Hello everyone, I have a very interesting question on orthogonal projection matrices. Intuitively it is quite straightforward to understand. But for me it is not easy to prove. In $R^2$ space, ...
3
votes
2answers
760 views

The space of probability measures and its intersection with hyperplanes in the space of measures

Let $X$ be some uncountable standard Borel space (e.g., the real line). Let $D$ be the set of Borel probability measures on $X$. Let $M$ be the set of signed Borel measures on $X$ Now let ...
1
vote
0answers
340 views

Bounding point-wise maximum of the absolute difference of two convex functions

Let $\Delta: R \times R \rightarrow R_{+}$ be a positive and convex function (convex in, say, both the arguments) called the loss function. Let $x \in R^d$. Moreover, let $H_1,...,H_r$ be sets of ...
12
votes
3answers
2k views

Non-Diagonalizable Doubly Stochastic Matrices

Are there constructive examples for doubly stochastic matrices (whose rows and columns all sum up to 1 and contain only non-negative entries) which are not diagonalizable?
1
vote
0answers
154 views

“Lift and project” procedure for matrices

Definition. Let us call $n\times n$ matrix with non-negative entries good if sum of every row and column is equal to $1/n$. Suppose we have a good matrix $A$. Let us consider the following strange ...
1
vote
1answer
512 views

Sequential sampling of Gaussian and von Mises-Fisher Random Variable

I don't find any article discussing this problem, so I dare to ask it. Suppose we are dealing with a data $x_0 \in \mathbb{R}$ and a function $f:\mathbb{R} \to \mathbb{R}$. Say we repeatedly apply ...
1
vote
0answers
1k views

Can we pass to the limit in Poincaré-Jaynes-Bretthorst interpolation and deconvolution?

In Science and Hypothesis, chapter XI, The calculus of probabilities, Henri Poincaré deals informally with the fundamental problem of interpolation. He concludes (see ...
8
votes
1answer
504 views

Bounds on $||P^{k+1} - P^k||$ for $n$ by $n$ stochastic matrix $P$ with trace $n-1$ and integer $k>>n$.

The problem: We have a $n$-state Markov chain with arbitrary initial distribution and transition matrix $P$ that is arbitrary except that we know that $P$ has trace $n-1$. Of course $P$ is also a ...