Statistics of spectral properties of matrix-valued random variables.

**3**

votes

**2**answers

247 views

### Rank of a fat random matrix

Let $\mathbf{R} \in \mathbb{C}^{~n \times k} $ with $n \leq k $ be a random matrix, whose entries are i.i.d zero mean random variables with circularly symmetric Normal distribution. Two questions:
(...

**1**

vote

**2**answers

113 views

### Concentration of matrix norms under random projection.

Let X be a given matrix of dimension $p \times q$. Let $G$ be a $s \times p$ dimensional matrix of standard normal/Gaussian random variables.
Are there cases where one can been able to quantify $...

**3**

votes

**1**answer

54 views

### Matrix model for “$\beta$-Ginibre” ensembles

A very well known result in random matrix theory is that there exists "nice" (i.e., with independent entries) tridiagonal matrix for the $\beta$-ensembles of random matrix theory
$$\propto\prod_{i<...

**0**

votes

**0**answers

35 views

### Is that possible to use stieltjes transform for multiple matrices

I have the matrix calculation with expression
\begin{equation}
\frac{1}{M}tr(\mathbf{WHH}^H\mathbf{W}^H + \mathbf{R}_{nn})^{-1}
\end{equation}
whereas $\mathbf{H} \in \mathbb{C}^{M\times K}$, $\mathbf{...

**4**

votes

**2**answers

155 views

### Expected value of Bernoulli quadratic forms

Let $\mathbf{Y}\in\mathbb{R}^{n\times n}$ be a symmetric matrix. Let $\mathbf{x}\in\mathbb{R}^n$ be random vectors with entries i.i.d. $\pm 1$ with equal probability. I'm interested in a lower bound ...

**2**

votes

**1**answer

294 views

### Is there any way to compare between diagonals of a resolvent and a Cauchy transform?

Say $A$ is a symmetric matrix of $n$ dimensions. Then let the ``resolvent" of $A$ be the matrix valued function $R_A(z) = \frac{1}{z-A}$ and its Cauchy transform be the real valued function $C_A(z) = ...

**1**

vote

**1**answer

121 views

### Spacing of the largest singular values of Wishart matrix

Let $X \in \mathbb{R}^{n \times p}$ consist of iid $\mathcal{N}(0,1)$. Assume that $n/p$ converges to a positive constant. Denote by $\sigma_1 \ge \sigma_2 \ge \cdots \ge \sigma_{\min(n,p)} \ge 0$ the ...

**1**

vote

**1**answer

73 views

### Upper tail concentration of sample covariance matrices

I'm interested in concentration of the following random matrix sum in spectral norm
$\frac{1}{m}\sum_{k=1}^m b_k^2\mathbf{a}_k\mathbf{a}_k^*$
Here $\mathbf{a}_k\in\mathbb{R}^n$ are i.i.d. standard ...

**2**

votes

**0**answers

124 views

### concentration of functions of Gaussian processes

Let $\mathcal{C}\in\mathbb{R}^n$ be a subset of the unit ball. Also let $\mathbf{a}_1,\mathbf{a}_2,\ldots,\mathbf{a}_m\in\mathbb{R}^n$ be i.i.d. random Gaussian vectors $\mathcal{N}(\mathbf{0},\mathbf{...

**0**

votes

**0**answers

34 views

### Joint distribution of eigenvalue and matrix entry

Let $X=(X_{n,m})_{n,m=1}^N$ be a $N\times N$ GUE random matrix, and let $\lambda_1,\dots,\lambda_N$ denote its unordered eigenvalues. What can be said about the distribution of, say, $$\lvert\lambda_1-...

**3**

votes

**1**answer

101 views

### Integrability of complex gaussian random matrix model

It is known that the partition function
$$ \mathcal{Z}_1=\int dH e^{-N{\rm Tr}(H^2)}e^{-NV(H)},$$ where the integral is over $N\times N$ hermitian matrices $H$, with the potential $$ V(H)=\sum_{j\ge 1}...

**25**

votes

**1**answer

2k views

### When should we expect Tracy-Widom?

The Tracy-Widom law describes, among other things, the fluctuations of maximal eigenvalues of many random large matrix models. Because of its universal character, it obtained his position on the ...

**1**

vote

**0**answers

31 views

### On the numerical range of non-self adjoint Gaussian matrix

For a complex $n \times n$ matrix $A$, its numerical range is the set
$$W(A) = \left\{\mathbf{x}^*A\mathbf{x} \mid \mathbf{x}\in\mathbb{C}^n,\ \|x\|_2=1\right\} .$$
We can further define the ...

**4**

votes

**1**answer

80 views

### On the eigenvalues' distribution of random unitary

Fix an integer $d$, let $\mathbb{U}_d$ be the $d\times d$ unitary group.
For any $U\in \mathbb{U}_d$, define $\Omega(U)$ be the length of the smallest arc containing all the eigenvalues of $U$ on the ...

**6**

votes

**1**answer

117 views

### Average minimum number of random k-sparse vectors in GF(2) to span the whole space?

What is the average minimum required number of independent $k$-sparse (having at most $k$ non-zero elements) random vectors belonging to $\mathbb{F}_2^n$ to span the whole space of $\mathbb{F}_2^n$? ...

**1**

vote

**0**answers

42 views

### Majorizing inequality on spectral norm of product of a random and a deterministic low-rank projection

Let $P$ be a rank $k$ uniformly randomly oriented projection matrix in ${\mathbb R}^d$ -- this is constructed as $R^T(RR^T)^{-1}R$ where $R$ is a $k\times d, k<d$ random matrix with i.i.d. 0-mean ...

**1**

vote

**0**answers

42 views

### Explanation for a spectral measure [closed]

Could someone help me, please, to understand in term of entries of a Matrix $M=(m_{i,j})_{i,j\in\{1,n\}^2}$ the following measure :
$$ \frac1{n} \sum_{i=1}^n \langle v_i,e_j \rangle \delta_{\lambda_i}...

**9**

votes

**3**answers

851 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

**0**answers

142 views

### Orthogonality of Pfaffian polynomials in $SO(2m)$

I've been struggling here to invert some integral equation involving Pfaffians, and it would be very nice if you could shed some light on the problem.
Let's go to it. Let $V=\{-1,1\}^{m}$ and $S = \...

**2**

votes

**0**answers

47 views

### Literature on transformed Gaussian matrices

I am considering real $n$-by-$m$ matrices of the following type:
$$
M=SM^\prime,\\
M^\prime_{ij}\sim^{iid}N(0,1).
$$
Here, $S$ is a fixed $n$-by-$n$ matrix and the entries of $M^\prime$ (same size ...

**4**

votes

**0**answers

105 views

### Christoffel-Darboux type identity

The classical Christoffel-Darboux identity for Hermite polynomials reads
$$\sum_{k=0}^n\frac{H_k(x)H_k(y)}{2^k k!}=\frac{1}{2^{n+1} n!}\frac{H_{n+1}(x)H_n(y)-H_n(x)H_{n+1}(y)}{x-y}.$$
I am ...

**2**

votes

**1**answer

119 views

### Averages of vector inner products over the Haar measure

Consider arbitrary unit vectors $w,x,y,z \in \mathbb{C}^d$. Is there an explicit formula for what this average is?
$$
\int \mathrm{Tr}( \psi \psi^* \, \, w x^* \,\, \psi \psi^* \,\, y z^*) d\psi
$$
...

**3**

votes

**1**answer

133 views

### Generating a random special unitary matrix

I could find many resources on generating random unitary matrices, usually citing F. Mezzadri, Notices of the AMS 54 (2007), 592-604 for a method which generates unitaries random with respect to the ...

**1**

vote

**2**answers

73 views

### Non-asymptotic bound on the variance of largest singular value of gaussian matrix

Let $A$ be a gaussian matrix of size $d \times n$ where all the coefficients are drawn i.i.d. from $ \mathcal{N}(0, 1)$ and denote by $s_{\text{max}}$ its largest singular value.
Theorem 2.6 of http:/...

**-1**

votes

**2**answers

179 views

### Are the coefficients of a linear combination of random vectors as random?

Given are $2n$ random vectors $x_i,y_i\in\mathbb{C}^n$ for $i=1,\ldots,n$ which entries are drawn iid from some absolutely continuous distribution. Every set of $n$ different of those vectors is ...

**2**

votes

**0**answers

114 views

### Eigenvalue perturbation of a symmetric matrix by a random orthogonal projection

Given fixed real symmetric $D\in\mathbb{R}^{n\times n}$ with $n$ distinct eigenvalues, let $U$ be a random orthogonal matrix selected uniformly from the space of $n\times n$ orthogonal matrices, and ...

**4**

votes

**2**answers

279 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, ...

**17**

votes

**5**answers

1k 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

**1**answer

93 views

### A Gaussian integral over complex variables by a defined Green's function for a Gaussian ensemble of random matrix

We construct an $N\times N$ matrix $J$ whose elements are drawn from Gaussian distribution with zero mean and variance $\frac{1}{N}$. Since we want to have different variances for different columns, ...

**1**

vote

**1**answer

60 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 ...

**4**

votes

**0**answers

54 views

### Spectrum of sum of fixed matrices with random signs

Let $A_1,\ldots,A_k$ be a given sequence of $N$-by-$N$ Hermitian matrices. Assume all have spectrum contained in $[-1,-\delta] \cup [+\delta,+1]$ for some $\delta>0$. Let $$A=\frac{1}{\sqrt{k}} \...

**3**

votes

**1**answer

157 views

### Bai and Silverstein's “Lemma on Quadratic Forms” - question about the constant $C_p$

In the book "Spectral Analysis of Large Dimensional Random Matrices" by Bai and Silverstein, there is the following lemma:
Lemma B.26 (pg. 530) Let $A=(a_{ij})$ be an $n\times n$ nonrandom matrix ...

**1**

vote

**0**answers

24 views

### Construction of point process having same pair correlations as GUE

The distribution of the pair correlations of the eigenvalues of the GUE satisfies (in the limit, when being normalized appropriately)
$$
g(u) = 1 - \left(\frac{\sin(\pi u)}{\pi u}\right)^2 + \delta(u)....

**1**

vote

**1**answer

91 views

### If the sample space is an Euclidean Space, we can use a different type of PDF

Reading this post, I realize that is possible to have another type of PDF (probability density function) in the special case when the sample space is an Euclidean space.
Usually, we have a ...

**2**

votes

**1**answer

78 views

### Covariance matrix as optimization problem solution?

I have seen the expectation of a random vector expressed as the solution to the optimization problem:
\begin{equation}
\mathbb{E}[X]=argmin_{v \in \mathbb{R}^n}\mathbb{E}[\|X-v\|_{l^2}^2](:= \int_{\...

**8**

votes

**1**answer

305 views

### Riemann zeta function: pair correlations vs. neighbor spacings

Montgomery's pair correlation conjecture states that the distribution of the pair correlations of the zeroes of the Riemann zeta function (normalized to have average spacing 1) is given by the ...

**12**

votes

**1**answer

311 views

### Expected size of determinant of $AA^T$ for random circulant and Toeplitz matrices

If $A$ is chosen uniformly at random over all possible $n$ by $n$ Toeplitz (or circulant) (0,1)-matrices, can we give any bounds for the expected size of the determinant of $AA^T$? All arithmetic is ...

**2**

votes

**1**answer

134 views

### A question from Zeitouni's Introduction to Random Matrices

I have a question regarding exercise 2.1.5 on page 19 in this book:
http://www.wisdom.weizmann.ac.il/~zeitouni/cupbook.pdf
I would like a reference or help on this exercise.
The exercise asks the ...

**4**

votes

**0**answers

115 views

### Expectation of a specific random variable on the probability space of $n\times n$ matrices over $\{0,1\}$

Let $\mathcal{G}_{n,\frac{1}{2}}$ be the probability space of $n\times n$ matrices over $\{0,1\}$ and each entry of the matrix is independently equal to 1 with probability $\frac{1}{2}$ and equal to 0 ...

**13**

votes

**0**answers

349 views

### How fast can extreme eigenvalues of the average of random matrices converge to their expectation?

Suppose that $X_1,X_2,\ldots,X_m$ are independent $d\times d$ random matrices and let $\overline{X} := \frac{1}{m}\sum_{i=1}^m X_i$. One of the questions studied under the theory of random matrices is ...

**0**

votes

**1**answer

70 views

### Alternative formula of a Green's function for average density of eigenvalues of random matrix

A Green's function is defined as follows:
$$G(\omega) = \frac{1}{N}\mathrm{E}\big[ \mathrm{Tr}\frac{1}{I\omega - J} \big]$$, where $I$ is the $N$-dimensional identity and $E$ means expectation value ...

**2**

votes

**2**answers

365 views

### Distribution of dot product of two unit random vectors

Consider $\mathbf{u}, \mathbf{v}\in \mathcal{C}^M$ to be two independent unit norm random vectors on the $M-1$ dimensional complex sphere $\mathcal{S}^{M-1}$. In addition, $\mathbf{u}$ follows an ...

**1**

vote

**1**answer

85 views

### Calculate correlation values of an ensemble of $N\times N$ real asymmetric random matrix from Gaussian measure

I am now reading a paper by Sommers, H. J., et al. "Spectrum of large random asymmetric matrices." Physical Review Letters 60.19 (1988): 1895-1898., it claims a mathematical statement (equation (2) in ...

**8**

votes

**1**answer

423 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 ...

**2**

votes

**1**answer

130 views

### A slight generalization of Mehta's integral.

I am trying to find the value of following integral
$$\int_{-\infty}^{\infty}\dots\int_{-\infty}^{\infty}\prod_{i=1}^ne^{-\frac{t_i^2}{2}+\alpha_i t_i}\prod_{1\le i<j\le n}\left|t_i-t_j\right|^{2\...

**0**

votes

**1**answer

84 views

### Almost sure convergence of smallest eigenvector of diagonal matrix

I have that a sequence of random matrices, $M_n$, converges almost surely to a diagonal matrix, $D$, with finite real entries on its diagonal. During convergence, the off-diagonals are not necessarily ...

**6**

votes

**1**answer

160 views

### Extension of Wigner's semicircle law?

It is well-known that the semicircle law holds for a wide class of matrices with independent and identically distributed (mean zero) entries.
My question is: is there any study about the more general ...

**4**

votes

**1**answer

206 views

### Tail bounds on eigenvalue gaps for GUE

What I'm looking for is a non-asymptotic bound on the probability that the smallest gap between eigenvalues of a GUE matrix does not exceed a certain value.
I'm aware of the bounds in
http://imrn....

**3**

votes

**1**answer

109 views

### Horn's spectrum problem with random Hermitian matrices

An important problem in matrix analysis, completely solved in the early 2000's by A. Knutson & T. Tao (The honeycomb model of GLn(C) tensor products. I. Proof of the
saturation conjecture. J. Amer....

**1**

vote

**1**answer

192 views

### Sum of Eigenvectors Entries of an Adjacency Matrix

I have a question regarding the sums $\sum_{i=1}^{n}v_{j}\left(i\right)$ where $v_j$ are eigenvectors of adjacency matrix $A$ which have been normalized to unit length.
Ordering the eigenvectors by ...