Statistics of spectral properties of matrix-valued random variables.

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18
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2answers
687 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
0answers
44 views

eigenvalue distribution of random projection

Suppose that $A$ is an $n\times n$ diagonal matrix with positive diagonal elements and $\Pi$ is a random $k\times n$ matrix that could be (a) i.i.d. Gaussian, or (b) $k$ rows of a random orthogonal ...
1
vote
0answers
36 views

Projection of a ray onto a random polytope

Suppose $P$ is a polytope formed by $p$ (general) random planes in $\mathbb{R}^n$. We assume $p \asymp n$ and $P$ has a diameter $O(\sqrt{n})$. For any $x \in \mathbb{R}^n$, denote by ...
8
votes
1answer
275 views

Samuel Karlin's problem: Probability of positive solution to system of random linear equations

I came to know this problem from Dr. W. Bryc's slides (at University of Cincinnati), and I have been continually working on this problem for almost 5 days using different techniques. But I am only ...
1
vote
0answers
44 views

Optimization with random matrix

Consider $J$ a random matrix of size $n\times n$ with i.i.d. Gaussian entries $J_{ij} \sim \mathcal{N}(0,\sigma^2/n)$. Let $f(x)=tanh(x)$, and for $x\in\mathbb{R}^n$, $f(x)$ denotes the vector where ...
4
votes
2answers
272 views

Expectation of Mahalanobis norm

Let $(g_i)_{i=1,...,d}$ sampled i.i.d. from a standard Gaussian, and $(\lambda_i)_{i=1,...,d}$ non-random s.t. $\max_i(\lambda_i)=1$ and $\lambda_i>0, \forall i$. I am looking for the expectation ...
17
votes
2answers
452 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 ...
13
votes
1answer
589 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
0answers
53 views

On the least singular value of a random matrix and its minors

Let $A$ be a $n \times n$ random matrix with entries i.i.d from the continuous uniform distribution U([-1,1]). Is it true that the least singular value of $A$ and all its minors is greater than ...
2
votes
0answers
49 views

Smallest Singular Value of a Random Matrix with Dependent Entries

Overview I am trying to bound from below the smallest singular value $\sigma_{n}$ of a sequence of symmetric $n$ by $n$ random matrices $M_{n}$ with dependant entries. In particular, I would like to ...
3
votes
0answers
59 views

Matroid rank decay

Consider a uniform vector matroid $M(0)=U_{m,n}$ of rank $m$ with $n$ points, $n>m>2$ (you can think of it as a set of $n$ points in general position in vector space $F^m$ for some large field ...
0
votes
1answer
85 views

Norm of matrix with randomly deleted entries

Let $A$ be an $n \times n$ matrix with real entries and let $B$ be the random matrix whose $(i,j)$ entry is $$B_{i,j}=v_{i,j}A_{i,j}$$ where the $v_{i,j}$ are i.i.d Bernoulli random variables with ...
0
votes
0answers
28 views

Normalizing Entries In Defining Random Matrices (Wigner Matrix)

In the definition of Wigner Matrix (a certain type of random Matrices) we take to independent family of i.i.d zero mean distributions $\{Z_{i,j}\}_{1<i<j}$ and $\{Y_{i}\}_{1\leq i}$ and then the ...
2
votes
2answers
164 views

Estimating a Selberg-type integral (or a Fredholm determinant)

I am concerned with the asymptotical behavior of integrals like this for large $n$ $$\frac{1}{n!}\intop_{\Omega}\prod_{1\leq i<j\leq n}(x_{j}-x_{i})^{2}\,\prod_{j=1}^{n}e^{-x_{j}^{2}}dx_{j},$$ ...
6
votes
1answer
147 views

Upper bound for a Selberg-type integral over a rectangular region

(Cross-posted from math-SE). I am trying to estimate the values of the following integral for large $n$, $$\frac{1}{n!}\intop_{\Omega}\prod_{1\leq i<j\leq ...
17
votes
1answer
1k views

Smallest eigenvalue of a tricky random matrix

While experimenting with positive-definite functions, I was led to the following: Let $n$ be a positive integer, and let $x_1,\ldots,x_n$ be sampled from a zero-mean, unit variance gaussian. Consider ...
4
votes
2answers
175 views

Statistics of strongly connected components in random directed graphs

I'm interested in the statistics of strongly connected components in random directed graphs. However, I'm unable to find any results on this, partly because I don't know the terminology to search for. ...
5
votes
1answer
183 views

Symmetry type of non-cohomological automorphic forms

By Katz-Sarnak philosophy a family of $L$-functions would have a symmetry type which would reflect the statistics of $L$-functions, such as low lying zeros and moments. Shin-Templier's paper on ...
1
vote
2answers
85 views

Lyapunov exponents of dual / adjoint / transpose random dynamical system (RDS)

Consider the the state of a system at time $n$, $X_n$, as the action of a product of i.i.d. $d\times d$ random matrices acting on a $d$ dimensional vector $X_0$, so we have $$X_n = A_n \cdots ...
7
votes
0answers
90 views

What is the reason the eigenvalues of GUE and CUE matrices tend locally to the same distribution?

It's well known in random matrix theory that locally the eigenvalues of a random matrix from the Gaussian unitary ensemble tend to a sine-kernel determinantal point process. Likewise, locally the ...
4
votes
0answers
64 views

Can the GUE be thought of as a uniform point in a high-dimensional polytope

I have thought about this question for a long time and could only find partial answers. The Gaussian Unitary Ensemble (or GUE) is the eigenvalues of a random Hermitian matrix with complex Gaussian ...
6
votes
4answers
375 views

Expected value of a function over random sets

I am doing an analysis on the complexity of some set-related algorithm where the input is a random set. One of my setbacks can be formulated as follows: Pick $k$ distinct numbers out of numbers ...
-1
votes
1answer
104 views

When does a d.r.v. take a value very close to the mean? [closed]

Suppose that $X$ is a discrete random variable with values $x_{1},x_{2},\ldots,x_{n}$ (not known precisely, but there is some information available about the mean and variance). Is there a result ...
2
votes
1answer
79 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} ...
5
votes
1answer
149 views

rigidity of eigenvalues of circular ensemble

Given a circular unitary ensemble, with the following joint density: $p(\theta_1,\ldots, \theta_n) = Z_n \prod_{j < k} |e^{i \theta_j} - e^{i \theta_k}|^2$, is the following statement true? With ...
3
votes
2answers
301 views

Weak convergence of random measures

Let $\mu_n,n\in \mathbb N$ be a random probability measures and let $\mu$ be a deterministic probability measure on $\mathbb R$. That is to say, that the $\mu_n$ are measurable maps from a probability ...
2
votes
0answers
74 views

Exact growth rate of Longest Increasing Subsequence expectation

Let $S_n$ be the symmetric group, $\pi\in S_n$ a uniformly random permutation and $L_n:=L_n(\pi)$ denoting the length of the longest increasing subsequence (LIS). We know that ...
5
votes
2answers
364 views

Expectation of trace of nth power of unitary matrices

I am trying to find the answer of $$\int dU \ |Tr(U^m)|^2$$ where $m\in\mathbb{N}$ and $U$'s are unitary matrices in $\textit{U}(n)$ and $dU$ is a normalized Haar measure. In the case $m=1$, the ...
2
votes
1answer
182 views

An expectation of the product of random unitaries

I want to find the answer of $$\int dU \ U^m X \ U^{\dagger m}$$ Where $m\in\mathbb{N}$ and $U$'s are unitary matrices in $U(n)$ and $dU$ is a normalized Haar measure. $X$ is a given self-adjoint ...
1
vote
1answer
187 views

Probabilistic statement on matrix ranks

Given $A\in\{0,1\}^{n\times n}$ with $\operatorname{rank}(A)=r=2^{O((\log_2n)^{\frac{1}{c+1}})}$. Denote $\mathsf{1_n}\in\{0,1\}^n$ as vector with $1$s. Does ...
4
votes
0answers
248 views

An integral with respect to the Haar measure on a unitary group

Let $A,D\in \mathbb{C}^{n \times n}$ be diagonal matrices. I need to calculate $$\int_{U(n)}\det{(A-HDH^\dagger)}\,\mathrm{d}H$$ where $dH$ is the unit invariant Haar measure on the group of unitary ...
1
vote
0answers
107 views

Bound the expectation of trace norm of random Hermitian matrix

Suppose $H_i$ are traceless $d\times d$ Hermitians, $X_i$ are Standard normal distribution for $1\leq i\leq d^2$. We would like to bound the following expectation on the trace norm ...
0
votes
0answers
44 views

Restricted singular values of Wishart matrices

This is an extended question of Restricted singular values of random matrix. It is well-known that the smallest singular value of a $p \times \frac{p}{2}$ matrix consisting of i.i.d. ...
5
votes
0answers
70 views

Eigenvalues of Random Regular Bipartite Graphs

I am looking for a way of getting a good estimate of the eigenvalues of random bipartite d-regular graphs. The literature has very precise values the proofs of which are very involved and since I am ...
1
vote
0answers
49 views

Tools to bound the singular values of a finite sum of random matrices from below?

Matrix Chernoff bounds (see also this arXiv paper) are usually used to give upper bounds on the largest eigenvalue of a finite sum of random matrices. Sometimes it can also be used to give a lower ...
2
votes
1answer
281 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
1answer
87 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 ...
3
votes
1answer
140 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 ...
5
votes
1answer
178 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 ...
1
vote
0answers
31 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
1answer
124 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 ...
2
votes
1answer
121 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
0answers
91 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
0answers
85 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 ...
6
votes
1answer
191 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
3answers
314 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
3answers
394 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 ...
14
votes
4answers
878 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 ...
1
vote
1answer
161 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 ...
6
votes
1answer
150 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 ...