Statistics of spectral properties of matrix-valued random variables.

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votes

**1**answer

100 views

### Moments of random special unitary matrices

This should be both well-known and probably easy, but I was wondering if the following is known (and, if so, how to easily calculate the thing or where to read about how to calculate it):
what is ...

**1**

vote

**0**answers

26 views

### Inverse of the covariance of the estimate of a covariance

I have a covariance matrix, $V_{ij}$, which (for reasons that aren't important) I'm going to call the visibilities. I have an estimator for the visibilities $\hat V_{ij}$, and I've derived that the ...

**2**

votes

**1**answer

98 views

### Quaternion Wishart matrices of half-integer dimension?

For a physics application (quantum delay times of a chaotic scatterer) I need to generate $m$ positive random variables $\lambda_1,\lambda_2,\ldots\lambda_m$ with probability distribution
...

**0**

votes

**1**answer

57 views

### Distribution of the $\alpha$-parameter of a $2\times 2$ Haar-distributed, unitary matrix

It is well known that any $2\times 2$ unitary matrix $\mathbf{U}$ can be parametrized as
$$\mathbf{U}=\begin{pmatrix} 1 & 0 \\ 0 & \mathrm{e}^{\mathrm{j}\beta_1}\end{pmatrix} \begin{pmatrix} ...

**0**

votes

**0**answers

71 views

### Is there an improvement for the Schur-Horn inequalities for positive semi-definite matrices?

By the Schur-Horn inequality I am thinking of the statement that for any Hermitian matrix $H$ its diagonal n-tuple $(H_{11},H_{22},..,H_{nn})$ for any choice of basis lies in the convex hull of the ...

**2**

votes

**0**answers

72 views

### “Semiclassical approximation” in random matrix theory

I am reading Planar Diagrams by Brezin, Parisi, Itzykson and Zuber. If you specialize the discussion in section 5 there we seem to derive the eigenvalue distribution of $N \times N$ random Hermitian ...

**2**

votes

**1**answer

101 views

### Restricted singular values of random matrix

Let $X \in \mathbb{R}^{p\times p}$ be a large square matrix, consisting of i.i.d. Gaussian entries. Then it is known that the singular values of $X$ follow the Marchenko-Pastur law.
Now let's ...

**6**

votes

**1**answer

181 views

### Distribution of the permanent modulo $p$

We know that the order of $SL_n({\mathbb F}_p)$ is
$$p^{n(n-1)/2}(p^n-1)(p^{n-1}-1)\cdots(p^2-1).$$
Dividing by $p^{n^2}$, we deduce the probability that $\det$ takes the value $1$ over $M_n({\mathbb ...

**-3**

votes

**3**answers

292 views

### Determinant of matrix from set {-1, 1} [closed]

Let $A \in \mathbb{R}^{11 \times 11}$ and it's elements are form set $\{ -1,1 \}$. $\mathbb{P}(-1) = \mathbb{P}(1) = 0.5$. What is a probability to get such a matrix, that $\det A > 4000$?
I have ...

**6**

votes

**3**answers

365 views

### An infinite product associated with random matrices

Motivation
Let ${\mathbb F}_q$ be the field with $q$ (a power of some prime number) elements. Then the order of $GL_n({\mathbb F}_q)$ is
$$(q^n-1)(q^n-q)\cdots(q^n-q^{n-1}).$$
The fact that this ...

**1**

vote

**1**answer

76 views

### Expected value of the inverse of a random, truncated Haar matrix

Let $Q$ be a (say 4x4) unitary matrix, distributed according to the Haar distribution. Denote the upper left 2x2 submatrix of $Q$ as $Q_{1:2,1:2}$. I am interested in the following expectation:
$E(I ...

**2**

votes

**0**answers

46 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 ...

**6**

votes

**1**answer

146 views

### Closure of random rotations

Are matrix Fisher random variables closed under multiplication?
For those unfamiliar with the jargon, let me unpack the terms above and repose my question.
This is a question about probability ...

**1**

vote

**1**answer

67 views

### Asymptotic eigenvalue analysis for a sparse random matrix

We have an asymptotic analysis problem for the eigenvalue performance of the following random matrix:
$H=\{h_{ij}\}_{N_r\times N_t}$,
where each entry $h_{ij}$ is with a probability $p$ to obey the ...

**2**

votes

**0**answers

75 views

### Stricter Notion of Crossing in a Partition

Let $k$ be an integer. Traditionally a partition $\pi=V_1\cup \dots \cup V_n$ of the set $[k]:=\{1,\dots, k\}$ is called crossing when there exist $a,c\in V_i$ and $b,d\in V_j\not= V_i$ such that ...

**1**

vote

**1**answer

73 views

### What is the relation between the eigenvectors of a sample covariance matrix and those of the true covariance matrix?

As is known, the covariance matrix of a set of random vectors $\{\mathbf{x}_i\}_{i=1}^N$ can be estimated by their sample covariance matrix:
$\mathbf{\hat ...

**0**

votes

**0**answers

68 views

### Bounding Random Quadratic Gauss sums

I'm interested in seeing whether the following is true. Assume $u$ is uniform on $[0,1]$ and $|\epsilon_k|=1$ for all $k=1,2,\ldots,n$. We have
\begin{align*}
...

**9**

votes

**1**answer

275 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 ...

**0**

votes

**0**answers

34 views

### Distribution of Wishart Sample Eigenvalues for Multiple Roots

I am interested in finding an asymptotic approximation to the latent roots $l_1>\dots>l_p$ of a white noise Wishart matrix $nS\sim W_p(n,I)$ as $n\rightarrow\infty$ (where $p$ is fixed). In ...

**3**

votes

**1**answer

125 views

### Strictly positive solutions of a random linear system

Suppose $B\in\mathbb{R}^{m\times n}$ is a random binary matrix with i.i.d entries and $c\in \mathbb{R}^m$ is a strictly positive vector, that is $c_i>0$ for $i=1,2,\cdots m$. Also assume $m<n$, ...

**14**

votes

**4**answers

788 views

### Moments of the trace of orthogonal matrices

Let $O_n$ be the (real) orthogonal group of $n$ by $n$ matrices.
I am interested in the following sequence which showed up in a calculation I was doing
$$a_k = \int_{O_n} (\text{Tr } X)^k dX$$
where ...

**0**

votes

**0**answers

65 views

### Bounding multiplications of PSD random matrices

Consider the following setup,
$(X, \hat{X}, Y, \hat{Y})$ are four $n \times n$ real, symmetric, full-rank, positive-definite matrices with entries between zero and one and operator norm $O(n)$.
The ...

**1**

vote

**1**answer

110 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) := ...

**0**

votes

**0**answers

43 views

### Tail Bounds for the minimum value of a function

Consider y to be the minimum value of an objective function over some subspace. More specifically
$y= \min_x \|e+Bx\|_\infty \quad s.t. \quad x\in \mathcal{S}$
where $e$ is a known vector, $B$ is a ...

**7**

votes

**3**answers

708 views

### A conjecture about the entropy of matrix vector products

Consider a random $m$ by $n$ partial circulant matrix $M$ whose entries are chosen independently and uniformly from $\{0,1\}$ and let $m < n$. Now consider a random $n$ dimensional vector $v$ ...

**2**

votes

**1**answer

84 views

### limiting empirical spectral distribution of the Laplacian matrix on an Erdos-Renyi graph?

Let $G$ be an Erdos-Renyi random graph (i.e. an edge ($ij$) exists with probability $0 < p < 1$ and all edges are independent). Let $L$ be the Laplacian matrix of this graph (i.e $L=D-A$, where ...

**1**

vote

**0**answers

25 views

### the 3th and 4th order statistics of Circularly Symmetric Complex Normal random vector?

Assume that ${\bf{z}} \in {\mathbb{C}}^{n \times 1}$ is a CSCG random vector denoted with $\mathcal{C} ~ (\bf{\mu} _0,\bf \Sigma _0)$ where $\mu _0$ and $\bf \Sigma _0$ are mean and contrivance ...

**3**

votes

**0**answers

134 views

### Eigenvalue Gap Probability Through Method of Moments

Let $M_n$ be drawn from $n\times n$ matrices under the Circular Orthogonal Ensemble (COE) distribution. Then the eigenvalues of $M_n$ all lie on the unit circle. Starting on the real line and going ...

**1**

vote

**0**answers

61 views

### Distribution of the Gram Matrices

Let $\mathbf{X}$ be an $m\times m$ random matrix full rank matrix, having the density function $f_{\mathbf{X}}(X)$. Also, let $\mathbf{W}$ be a deterministic $k\times m$ matrix of rank $k$ and ...

**3**

votes

**2**answers

90 views

### Random matrices: why to distingusish bulk and edge cases?

I have been recently reading some papers on universality of spectral statistics of random matrices written by Terry Tao, Van Vu, L. Erdos, H.T. Yau and others, and I am puzzled by such a dichotomy, ...

**2**

votes

**1**answer

100 views

### Distribution of the Gram matrix

Let $\mathbf{X}$ be an $m\times k$ random matrix ($m>k$) of rank $k$, having the density function $f_\mathbf{X}(X)$. What is the distribution of $\mathbf{Y}=\mathbf{XX}^T$? Basically my question is ...

**2**

votes

**1**answer

216 views

### Probability distribution of uAv…

Consider the complex domain ℂ. If U and V are 2 unitary random matrices and A is a deterministic matrix.
What is the distribution of $u^HAv$ ( or $||u^HAv||^2$)
where : u is a column vector of U. v ...

**1**

vote

**0**answers

35 views

### Find a common expression (parameterized by y = 1/2, 1 and 2) uniting three (rational) polynomials in k [closed]

I am seeking a common "simple" expression (preferably/presumably a sum of products of linear factors, or sum of products of low-degree factors) uniting the three polynomials (parameterized by ...

**6**

votes

**1**answer

184 views

### Analysis of $AB^{-1}$, where $A,B$ are random matrices

I am looking for help pointing me in the direction of any literature or other known work that analyze the probability distribution or other important properties of random variables of the form ...

**0**

votes

**0**answers

126 views

### A matrix rank problem over finite fields: Is that a known problem?

I have already asked the same question on cstheory.SE, but I haven't got an acceptable answer. So, I decided to ask it here.
It might be a known problem, however.
Let $A \odot B$ denote elementwise ...

**0**

votes

**1**answer

165 views

### maximum of certain Gaussian processes

Let $\mathbf{a}_k\in\mathbb{C}^n$ for $k=1,2,\ldots,m$ be i.i.d. standard complex normal random vectors with distribution $c\mathcal{N}(0,\mathbf{I})$. I am interested in a tight upper bound on the ...

**2**

votes

**1**answer

61 views

### Spectral norm tail bound of a correlated random matrix

I am looking for the tail bound of spectral norm for certain type of random matrix.
Let's say we have a $n\times n$ symmetric random matrix $R$, and for each entry $R_{ij}$, we have that
$$
...

**7**

votes

**1**answer

145 views

### Distribution of entries of a doubly-sorted random matrix

Take an $n \times n$ random matrix whose entries are i.i.d. with uniform distribution in $[0,1]$. Look at the sums of the elements of each row and then permute the rows so that these sums form an ...

**7**

votes

**1**answer

200 views

### Concentration of sum of powers of normals

Let $Z_1,Z_2,\ldots,Z_n$ be i.i.d. copies of a random variable $Z$ distributed as $\frac{1}{\sqrt{2}}X+i\frac{1}{\sqrt{2}}Y$ with $X$ and $Y$ independent standard Normal random variables ...

**18**

votes

**1**answer

1k views

### Unexpected $\sqrt{3}$

A somewhat lengthy calculation, involving integrals, reveals that the probability an $n\times n$ Hermitian matrix, drawn from the Gaussian unitary ensemble, is positive definite, decays as ...

**2**

votes

**0**answers

94 views

### Finite Volume 1D Anderson Tight Binding Model

My question is about bounds on the number of eigenvalues in a microscopic interval for the random Schrodinger operator on $\mathbb{Z}_n$ for $n \in \mathbb{N}$. For my question, these are the ...

**2**

votes

**1**answer

75 views

### Lyapunov Exponents for independent-nonidentically distributed matrices?

My question is highlighted in bold at the end.
$\mathrm{\underline{Background}}$
Consider a product of i.i.d. $d\times d$ random matrices $A_{i}$
(with $\mathbb{E}\log\left\Vert A_{i}\right\Vert ...

**3**

votes

**1**answer

65 views

### Reference request: results on the asymptotic distribution of singular values related to a random orthogonal matrix

Let $Q$ be a random variable taking as its values the set of $n \times k$ real matrices with orthogonal columns, and whose distribution is the Haar measure on the Stiefel manifold $O(n)/O(n-k)$. This ...

**0**

votes

**0**answers

52 views

### Compare full-rank probabilities of products of random matrices

Consider two matrices $C_1=A\times B_1$ and $C_2=A\times B_2$, where $A\in\mathbb{F}_q^{N\times K}$, $B_1\in\mathbb{F}_q^{K\times M}$ and $B_2\in\mathbb{F}_2^{K\times M}$; $M\leq N\leq K$.
It is ...

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vote

**0**answers

57 views

### integrality of a linear program — binary equality constaints

Consider the following linear program:
$\left\{
\begin{array}{l}
\underset{x}{max} \;\;c^Tx\\
[I, \;B]x = \mathbf{1}\\
x\geq 0
\end{array}
\right.$
where $c$ is a vector ...

**4**

votes

**1**answer

124 views

### Estimating the probability that $\|Av\| \ge \|v\|$

Given a diagonalizable matrix $A \in \mathbb{R}^{n \times n}$ with real eigenvalues, satisfying $1+c_1 \le \rho(A) \le 1+c_2$ $(0<c_1 \le c_2)$, obviously there exists a $v \in \mathbb{R}^{n}$ such ...

**2**

votes

**0**answers

71 views

### Random square submatrices of a Hadamard matrix

Question: For $N$ be a power of $2$, let $A$ be a random $d \times d$ submatrix of the $N \times N$ Hadamard matrix (the matrix of the Hadamard/Walsh-Fourier transform). What is the best known upper ...

**3**

votes

**1**answer

111 views

### Is there any theoretical results about the determinants of a Non-Central Wishart matrix?

As we know that a Non-Central Wishart matrix is defined as
$W:=XX^T$, where $X \in \mathbb{R}^{p \times N}$, and
$X:= M + E$, with $M \in \mathbb{R}^{p \times N}$ a deterministic and non-zero matrix, ...

**5**

votes

**1**answer

171 views

### concentration of random matrices involving normal random variables

Define the random variable
\begin{align*}
A=|a_1|^2\mathbf{a}\mathbf{a}^*
\end{align*}
where $\mathbf{a}\in\mathbb{c}^n$ is a random vector distributed as ...

**3**

votes

**1**answer

161 views

### Characterizations of the GOE/GUE family of distributions

This question is somewhat related to this one. Loosely speaking, when should I expect a GOE/GUE distribution? The angle of my approach to this is not through statements such as "there is a natural ...