Statistics of spectral properties of matrix-valued random variables.

**2**

votes

**1**answer

98 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

76 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 ...

**1**

vote

**0**answers

70 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

131 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

120 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 ...

**4**

votes

**1**answer

225 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

185 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

213 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 ...

**11**

votes

**0**answers

344 views

### What kind of random matrices have rapidly decaying singular values?

I've been told that in machine learning it's common to compute the singular value decomposition of matrices in order to throw out all information in the matrix except that corresponding to, say, the ...

**1**

vote

**1**answer

91 views

### Ordinary least square and random projection

Let $X$ be a given $d \times T$ matrix, and let $M$ be an $n \times d$ random matrix (say i.i.d. centered coefficients). Define $Y=MX$ in $\mathbb{R}^n$ and $H=Y'(YY')^{-1}Y$, where $'$ denotes the ...

**0**

votes

**1**answer

65 views

### Determine the expected size of a lower triangular sub-matrix of a random matrix?

Consider a $N\times N$ random matrix $A=[A_{ij}]$, whose elements are independently randomly chosen from the binary field $\mathbb{F}_2=\{0,1\}$ with probabilities $p_0=p$ and $p_1=1-p$. Suppose that ...

**5**

votes

**0**answers

208 views

### Kasteleyn, Gessel-Viennot and eigenvalues

The Kasteleyn matrix (for counting perfect matchings) and the Lindström-Gessel-Viennot matrix (for counting families of nonintersecting lattice paths) are tightly related, as observed many times by ...

**2**

votes

**1**answer

323 views

### Distribution of sum of freely independent Marchenko-Pastur measures

Given freely independent random variables $X_i$ with Marchenko-Pastur measures $\mu_i$, $i\in\{1,\dots,n\}$ how can we find the distribution of the scaled sum of these random variables ...

**1**

vote

**1**answer

346 views

### Random matrix determinant problem

Suppose we have a a set of random matrices in the complex field of the form $a_iv_iv_i^H$ for $i=\{1,\dots,n\}$ where $a_i$ are constant positive real scalars and $v_i$ are random complex valued ...

**13**

votes

**1**answer

663 views

### Probability a random Toeplitz matrix is singular

Consider Toeplitz matrices where the entries in the first row and column (which define the whole matrix) are independently chosen to be either $1$ or $0$ with probability $1/2$. Define $p_n$ to be the ...

**0**

votes

**1**answer

356 views

### Bounds on the eigenvalues of a random binary matrix

Consider $A$, a random binary matrix of zeros and ones in $\mathbb{R}^{{M\times N}}$, and $M>N$. We assume that $P(a_{i,j}=0)=P(a_{i,j}=1)=0.5$ (although I appreciate any advice on the case of ...

**0**

votes

**1**answer

440 views

### Null space of random $(0,1)$ binary matrix [closed]

What can be said about the null space of random $(0,1)$ rectangular binary matrices? In particular, I am interested in the probability that there is any non-zero vector with only integer coordinates ...

**0**

votes

**0**answers

93 views

### Eigen value distribution of autocorrelated Wishart matrix

Suppose the matrix W is constructed as $W=XX^T$ where $X_i(t) = \phi_i X_i(t-1) + a_i(t)$, and $a_i(t)$ ~ $N(0,1)$. I am interested in knowing the eigen value distribution of W. My google search on ...

**2**

votes

**0**answers

231 views

### Distributions of eigenvalues for matrix normal distribution: related references

I am interested in the distribution of the eigenvalues of matrices that are sampled from the matrix normal distribution.
I am sampling from $p(X \mid M,U,V)$ and let's assume that I know the ...

**1**

vote

**1**answer

313 views

### Relation between the eigenvalue density and the resolvent?

Disclaimer: This is a cross-post from math.stackexchange. Given that there is little activity on the subject (random-matrice) on the aformentioned site, and given that many interesting discussion on ...

**5**

votes

**1**answer

223 views

### “Ergodicity” for eigenvalues of random matrices?

Sorry if the wording of this question is sloppy, I have a weak background in probability theory (hence the quotation marks throughout).
Is there some "ergodicity-type" result for Wigner's semicircle ...

**2**

votes

**2**answers

210 views

### Probability for a random positive-semidefinite matrix to not be positive-definite?

If I take $A^TA$, where $A$ is a full-rank random matrix (let's say with Gaussian-distributed independent entries), can I expect it to be positive-definite? It will be positive semi-definite ...

**-2**

votes

**1**answer

286 views

### Rank of a random matrix

Let $x$ a random Gaussian vector of size $n$ with i.i.d coefficients $N(0,1)$. Let $J$ a random matrix with i.i.d coefficients $N(0,\sigma^2/n)$ where $\sigma \in [0,1]$. For any integer T>n, define:
...

**2**

votes

**0**answers

71 views

### Packing symmetric matrices in spectral norm, and defining measures on symmetric matrices

I'm trying to upper bound the $\epsilon$-packing number of $\Theta=\{A\in\mathbb{S}^{d}:\; a\preceq A \preceq b\}$ (where $\mathbb{S}$ are symmetric $d\times d$ matrices) for some $a\leq b$ with ...

**3**

votes

**2**answers

212 views

### Eigenvalue distribution of the sum of two random matrices

Suppose $D$ is a diagonal matrix of size $n \times n$ with diagonal elements $D_{ii}$ which are independent standard centered Gaussian random variables. Then consider a matrix $J$ such that its ...

**0**

votes

**0**answers

318 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

**1**answer

209 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

175 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

323 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

147 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 ...

**6**

votes

**0**answers

161 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

157 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 ...

**18**

votes

**2**answers

756 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

93 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

138 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

206 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

122 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

201 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

334 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

267 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

376 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 ...

**17**

votes

**2**answers

461 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 ...

**9**

votes

**1**answer

303 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

183 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

338 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

171 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

140 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

165 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

761 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

327 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:
...