Statistics of spectral properties of matrix-valued random variables.

**0**

votes

**0**answers

235 views

### expected matrix inverse of circulant plus diagonal matrix with chi-square variables

Let $R$ be a semi-definite $N\times N$ circulant Toeplitz matrix and let $N\to \infty$.
Let $D$ be an $N\times N$ diagonal matrix where the elements on the main diagonal are independent chi-square ...

**0**

votes

**0**answers

51 views

### Determining the asymptotic behavior of some scalar function of random matrices

Consider a series of random matrices $X_n\in\mathbb{R}^{n\times m}$ consisting of i.i.d. entries, each with zero mean and variance $1/m$, and let $y_n\in\mathbb{R}^{n\times1}$ be a random vector with ...

**0**

votes

**1**answer

123 views

### concentration of sums of fourth moment of normals

I was wondering what is the best tail bound for
\begin{equation*}
\mathbb{P}\bigg\{\sum_{k=1}^n X_k^4>(1+t)3n\bigg\}\le ?
\end{equation*}
where $X_k$ are i.i.d. $\mathcal{N}(0,1)$.

**3**

votes

**1**answer

136 views

### Condition number of a random 0-1 matrix

Consider a 0-1 integer $n \times n$ matrix with coefficients chosen uniformly over $\{0,1\}$. The probability that it is singular is exponentially small, and so we expect that it has a well-defined ...

**15**

votes

**0**answers

269 views

### Quasi-classical limit of representation theory

I am looking for a good reference on a general phenomenon of quasi-classical limit in representation theory, which relates "large" representations to measures on (co-adjoint orbits of) the associated ...

**1**

vote

**1**answer

136 views

### Determining the asymptotic behavior of some function of random matrix

Consider a series of random matrices $X_n\in\mathbb{R}^{n\times m}$ consisting of i.i.d. entries, each with zero mean and variance $1/m$, and let $a_n,b_n\in\mathbb{R}^{n\times1}$ be two deterministic ...

**4**

votes

**0**answers

110 views

### Behavior of eigenspaces of adjacency matrices of random graphs (not via perturbation theory)

For the sake of discussion, let us say that we have the adjacency matrix $A$ of a graph, on $n$ nodes, from a stochastic block model with 2 blocks. Another name for this (usually used in computer ...

**0**

votes

**1**answer

128 views

### How to calculate eigenvalue density function of $XX^\dagger$ from the density function of X

Let X be a complex random matrix, which has the probability function (drawn from the ensemble) V($XX^\dagger$), where V(x) is some function which guaranties good behavior at infinity. Note the unitary ...

**13**

votes

**2**answers

572 views

### Laws of Iterated Logarithm for Random Matrices and Random Permutation

The law of iterated logarithm asserts that if $x_1,x_2,\dots$ are i.i.d $\cal N(0,1)$ random variables and $S_n=x_1+x_2+\cdots+x_n$, then
$$\limsup_{n \to \infty} S_n/\sqrt {n \log \log n} = \sqrt 2, ...

**0**

votes

**1**answer

82 views

### Can I obtain the limit value of a linear spectral statistics using Stieltjes transform?

I would like to calculate the limit value of a linear functional
\begin{equation}
\lim_{n\rightarrow\infty}\mathcal{I}_n=\lim_{n\rightarrow\infty}\frac{1}{n}\sum_{i=1}^n ...

**2**

votes

**1**answer

110 views

### What is the spectral norm of a random projection times a diagonal?

Take $n\ll N$. Let $P$ be an $n\times N$ matrix of iid $\mathcal{N}(0,1)$ random variables, and let $D$ be an $N\times N$ diagonal matrix.
What can be said about the distribution of the largest ...

**2**

votes

**1**answer

183 views

### Determining the asymptotic behavior of random matrices with vanishing ratio dimensions

Consider an $N\times K$ random matrix $X$ (defined on a probability space $(Ω,F,μ)$) with i.i.d. entries having zero mean and variance $1/K$.
There are a lot of results regarding the asymptotic ...

**8**

votes

**1**answer

107 views

### GOE Version of Longest Increasing Subsequence

Let $S_n$ be the symmetric group equipped with uniform measure. For any $\pi\in S_n$, let $L_n=L_n(\pi)$ denote the longest increasing subsequence. A celebrated result of Baik, Deift and Johansson ...

**2**

votes

**1**answer

184 views

### Tail bound for $L_2$ norm of top $k$ singular values of a random matrix

Let $Y=X^\top W$ , with $X, W \in \mathbb{R}^{d \times d}$ are random matrices with standard normal entries. Let $\lambda_j$ be the $j^{th}$ singular value of $Y$. Is there a way to bound the tail ...

**5**

votes

**1**answer

269 views

### Lower bound of integral involving Laguerre polynomials

I want to lower bound the expected value of the square root of a randomly chosen eigenvalue of a Wishart matrix.
To get the bound I want I need a lower bound on
$$T_n = ...

**4**

votes

**1**answer

215 views

### Measure concentration for weakly dependent random variables

For an application quite alien to probability theory, I'd like to have a kind of measure concentration estimate, in the following spirit. Suppose that to every $1\le i,j\le n$ there corresponds a ...

**10**

votes

**1**answer

358 views

### A simple proof for a theorem of Szekeres and Turán

Szekeres and Turán found in 1937 a formula for the sum of the squares and the sum of the fourth powers of determinants of all $n$ by $n$ matrices with $\pm 1$ entries. (The sum of squares case follows ...

**14**

votes

**2**answers

378 views

### Repeated random two-steps in $\mathbb{R}^3$: unbounded?

I created a random isometry $T$ of $\mathbb{R}^3$ by generating
a random orthogonal matrix $M$,
uniformly distributed among all such,
and a random displacement $v$, whose coordinates
are drawn from a ...

**8**

votes

**1**answer

270 views

### Complexity of the union of randomly rotated unit cubes

It is a remarkable fact that the union of congrent cubes
has only at most near-quadratic combinatorial complexity,
$O^*(n^2)$ for $n$ cubes, known to be almost tight.
This contrasts with the union of ...

**5**

votes

**0**answers

173 views

### Quasicompactness of transfer operators associated to IID matrix products

Let $P^1$ denote one-dimensional real projective space, and for each $A \in GL(2,\mathbb{R})$ let $\overline{A}$ denote the homeomorphism of $P^1$ induced by $A$. I am currently reading a paper which ...

**0**

votes

**1**answer

204 views

### Determine the probability that two random vectors over a finite field are orthogonal

Hi all,
Suppose that $\mathbf{f}=[f_1, f_2,\ldots,f_m]$ and $\mathbf{g}=[g_1,g_2,\ldots,g_m]$ are two $m$-dimensional vectors. All $f_i$'s are chosen uniformly randomly from a finite field ...

**2**

votes

**0**answers

116 views

### Error bound on matrix vector multiplication

I am multiplying a matrix $A$ with vector $p$. However, the matrix $A$ isn't accurate.
Some (a very small fraction) of the element's value is changed from $a_{i,j}$ to {0,$-a_{i,j}$, $2a_{i,j}$}. ...

**0**

votes

**1**answer

125 views

### Find a generalized hypergeometric-based function yielding certain ratios of fifth-degree polynomials

Find a (presumably, generalized hypergeometric-based function $f(n,a,k)$), yielding for $n=1, a=\frac{1}{2}$,the rational function (ratio of fifth-degree polynomials)
\begin{equation}
...

**3**

votes

**2**answers

125 views

### Non-asymptotic results for bulk of random Wishart matrix

Let $n$ be a positive integer and let $X_n$ be an $n\times n$ random matrix whose entries are iid standard gaussian random variables. I am interested in the distribution of the average singular value ...

**9**

votes

**2**answers

605 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

**0**answers

186 views

### Notation for a functional L2 matrix norm

Hi,
Let $v(z)$ be a 2x2 matrix depending on a complex variable z, defined on an oriented contour $\Sigma$ in the complex plane. Can anyone tell me the meaning of the notation:
...

**10**

votes

**0**answers

145 views

### What are the difficulties in proving almost-everywhere stability of Gaussian elimination?

It is well known that Gaussian elimination without pivoting is numerically unstable, and in practice Gaussian elimination is done with row pivoting (partial pivoting). A theorem of Wilkinson states ...

**8**

votes

**2**answers

701 views

### Intuition behind the spectral density of random matrices

Hi,
I have read that the spectral density of an NxN random matrix consisting of iid random variables with zero mean and unit variance converges as N goes to infinity to the uniform distribution on ...

**0**

votes

**1**answer

320 views

### Expected value with a kronecker product and Gaussian distributional assumption

What is the expected value, $ \mathbb{E}\left[ I \otimes \left( \operatorname{diag}(ZZ^T\mathbf{1}) - ZZ^T\right)\right]$ where $Z \sim N(0, \sigma^2I) $? The kronecker product is where the confusion ...

**3**

votes

**0**answers

166 views

### Matrix where every subset of rows has maximal rank

I am looking for a class of matrices $M(n(m), m, k(m), \phi)$ with the following properties:
M is $n \times m$ where $n(m) > m$.
Every subset of rows of size $k$ has (maximal) rank $m$.
$n(m)$ ...

**1**

vote

**1**answer

82 views

### Expected rank - computable approximations

I'm interested in finding the expected rank of some random matrix $A$ (I don't want to specify its distribution right now, since my question makes sense in general).
Computing $\mathbb{E} \ ...

**9**

votes

**1**answer

359 views

### Probability that a random distance function is metric

Take a random $n \times n$ nonnegative symmetric matrix $D$ with zero diagonal. What is the probability that it is an abstract distance matrix, i.e. satisfies $D_{xy}+D_{yz} \geq D_{xz}$ for all index ...

**4**

votes

**0**answers

46 views

### Homogeneity degree one functions of a matrix argument

I am interested in homogeneity degree one (scalar-valued) functions of a matrix argument. The simplest setup is as follows. Let $X$ be a symmetric $3\times 3$ matrix with real entries. Let $f$ be a ...

**4**

votes

**2**answers

847 views

### Eigenvalues of random Hamiltonian matrices

A real $2n\times 2n$ Hamiltonian matrix has the general form
$$H=\begin{pmatrix}
A & B \cr
C & -A^T
\end{pmatrix}
$$
where $A$, $B$ and $C$ are $n\times n$ matrices, and $B$ and $C$ are ...

**4**

votes

**0**answers

205 views

### How to generate a random (Weyl) curvature operator ?

Given a dimension $n$, the space of curvature operators is the space $S^2_B(\Lambda^2\mathbb{R}^n)$ of symmetric endomorphisms $R$ of $\Lambda^2\mathbb{R}^n$ which satisfy the first Bianchi identity :
...

**24**

votes

**2**answers

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 ...

**0**

votes

**0**answers

93 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 ...

**15**

votes

**0**answers

738 views

### The Fourier Transform of taking Eigenvalues

The purpose of this question is to ask about the Fourier transform of the map which associate to an $n$ by $n$ matrix its $n$ eigenvalues, or some function of the $n$ eigenvalues. The main motivation ...

**2**

votes

**0**answers

686 views

### Distribution of Inverse of a Random Matrix

Recently i got stuck into a problem and couldn't find its
satisfactory answer anywhere.
My question is simple. Suppose i have a fat random matrix (i,e $R$ has dimensions $k\times d$ where $k<d$) ...

**0**

votes

**1**answer

231 views

### distinguishing random orthogonal matrix from Gaussian random matrix

Jiang's paper (http://projecteuclid.org/euclid.aop/1158673325) shows the following: Suppose that $G$ is an $n\times n$ random matrix with entries i.i.d. $N(0,1/n)$, and $Z$ is a random $n\times n$ ...

**9**

votes

**2**answers

190 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 ...

**1**

vote

**0**answers

177 views

### Generalization of Lagrange inversion with “skewed” formal parameter

I am interested in obtaining an analog of the Lagrange inversion formula, starting from a generalization of the implicit equation. Ordinary Lagrange reversion, as I am familiar with it, starts with ...

**1**

vote

**1**answer

165 views

### random matrix products reference

For a long time the standard (though not the easiest to find) reference on random matrix products was Bougerol and Lacrois:
Bougerol, Philippe, and Jean Lacroix. Products of random matrices with ...

**0**

votes

**1**answer

240 views

### A particular kind of Cauchy Principal Value integral

I am sorry to bother the community with such a narrow question, it may perhaps be a little specific. As I study Random Matrix Theory, I often have to solve integrals of the form
$$\mathcal{P} ...

**2**

votes

**2**answers

712 views

### Singular Value Decomposition of Noisy Matrices

I am an engineer who makes measurements of a variable over a grid
of, say, $m\times n$. Since these are actual measurements, the true
values are always corrupted by noise, and what I measure is a ...

**1**

vote

**1**answer

140 views

### Scaling laws for singular values of random matrices

Assume that we have an $n\times n$ matrix ${\bf A}$ with elements drawn i.i.d. Gaussian with mean zero and variance 1.
Are there any results on the asymptotic behavior of its $i$-th largest singular ...

**2**

votes

**1**answer

182 views

### invertibility of a matrix with a Gaussian perturbation

Suppose that $A$ is an arbitrary fixed $n\times n$ matrix and $G$ a random $n\times n$ matrix with i.i.d. $N(0,1)$ entries. Is there a simple proof that $A+G$ is invertible with probability 1?
What ...

**1**

vote

**0**answers

62 views

### Random Schrödinger operators with asymmetric Lifshitz tails?

For a quantum mechanical system with a periodic Hamiltonian (Schrödinger operator) $H$, let $N(E)$ be its integrated density of states, i.e. the fraction of eigenvalues in the spectrum $\sigma(H)$ ...

**10**

votes

**1**answer

629 views

### Non-probabilistic proof of the Johnson–Lindenstrauss lemma

The Johnson–Lindenstrauss lemma states that a small set of points in a high-dimensional space can be embedded into a space of much lower dimension in such a way that distances between the points are ...

**21**

votes

**0**answers

929 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 ...