Questions tagged [free-probability]
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70 questions
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Sum of independent Wisharts
Suppose random vectors $y_1,y_2,\ldots,y_m$ are independent and the distribution of each $y_i$ is a $d$-dimensional complex Gaussian with mean $0$ and covariance $\Gamma_i$, that is $y_i \sim \mathcal{...
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Does free multiplicative convolution become free additive convolution under logarithm?
Let $X$ and $Y$ be two $n\times n$ random matrices that have zero measure over degenerate matrices. For a positive definite matrix with eigen-decomposition $A = U \Lambda U^\top$, let $\log(A) = U \...
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Limiting value of Stieltjes transform of sum of independent Wishart matrices
Let $n_1$, $n_2$, and $d$ positive integers tending to infinity such that $d/n_k \to \phi_k \in (0,\infty)$ and $n_1/(n_1+n_2) \to p \in (0,1)$. Let $X_k$ be an $n_k \times d$ random matrix with iid ...
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Sufficient condition for uniform convergence of the Stieltjes transform
Let $\mu$ be a probability measure and $\mu_N$ be a sequence of probability measures. For simplicity we may assume them to have compact supports contained in $[-1,1]$. Define
$$G_\mu(z):=\int\frac{\mu(...
- 380
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108
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RMT for modified Wishard matrix $Y'Y$ (where $i$th row of $Y$ is zero if $|x_i^\top u| \le \theta$; else it equals $x_i$)
Let $n$ and $d$ be positive integers tending to infinity such that $d/n \to \phi \in (0,\infty)$. Let $X$ be an $n \times d$ random matrix with iid rows $x_1,\ldots,x_n$ from $N(0, \Sigma)$, where $\...
- 6,853
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Limiting value of trace of resolvent matrix involving two independent Wishart random matrices
Let $n_1$, $n_2$, and $d$ be positive integers tending to infinity such that
$$
d/n_k \to \phi_k \in (0,\infty).
$$
Let $X_1 \in \mathbb R^{n_1 \times d}$ and $X_2^{n_2 \times d}$ be independent ...
- 6,853
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2
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301
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Joint moments like $\tau(XYXYXY)$ in terms of individual moments of free variables $X,Y$
Terry Tao RMT book has the following formula for joint moment of freely independent random variables $X,Y$ in Section 2.5
$$\tau(XYXY)=\tau(X)^2\tau(Y^2)+\tau(X^2)\tau(Y)^2-\tau(X)^2\tau(Y)^2$$
...
- 2,442
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Moment method / genus expansion for random matrices with i.i.d. entries
Given a (say real) random matrix $M=(M_{i,j})_{1\leq i, j \leq N}$, the moments method consists in computing (the limits in $N$ of) the quantities $$ \mathbb{E} \left(\mathrm{tr} M^k\right)^{1/k}, $$
...
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What are applications of asymptotic freeness of random matrices?
In around 1990 Voiculescu showed asymptotic freeness of certain random matrices,
i.e., free independence when the matrix size goes to infinity.
Since then this link between free probability and random ...
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What did Rota mean by "one can define cumulants relative to any sequence of binomial type"?
This question is cross-posted from MSE.$\newcommand{\E}{\mathbb{E}}$
Near the end of "Finite Operator Calculus" (1976), G.C. Rota writes:
Note that one can define cumulants relative to any ...
- 491
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Free probability: A unitary group heuristic for the relationship between additive free convolution and free compression
From one perspective, free probability is the study of how the eigenvalues of large random matrices interact under the basic matrix operations. The free probability operations of free additive ...
- 484
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Random matrices may be asymptotically free but never free themselves?
It is well known that independent $N\times N$ unitarily-invariant random matrices (or independent families of random matrices) may be asymptotically free as $N\to \infty$ with respect to the ...
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What does a product of many Gaussian matrices converge to?
Let $A$ be a product of $n$ $d\times d$ matrices with IID standard Gaussian entries and consider the value of $g(x)=x f(x)$ where $f(x)$ is the density of squared singular values of $A/\|A\|$.
Is ...
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How to analyze the value of convergence of functions of random matrices?
Consider a random i.i.d matrix $\mathbf{A}_{m\times n}$ with entries generated from a complex Gaussian distribution with zero mean and unit variance. I am interested in the large dimension analysis of ...
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Limiting value of $\dfrac{1}{m}\mathrm{tr}(FAF^\top (FBF^\top)^{-1})$, where $F$ has iide $N(0,1)$ entries and $A,B$ are deterministic
Let $F=F_{m,d}$ be a random $m \times d$ matrix with iid entries from $N(0,1)$. Let $A=A_d$ and $B=B_d$ be deterministic $d \times d$ positive-definite matrices. In case it helps, it may be assumed ...
- 6,853
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Limiting value of expectation of $\operatorname{tr}(BR(z))$, where $R(z) := (X^\top X - z I_d)^{-1}$ and $X \sim N_{n,d}(0,A)$
Let $A=A(d)$, and $B=B(d)$ be (sequences of) deterministic positive-definite $d \times d$ matrices and let $X$ be an $n \times d$ random matrix with iid rows from $N(0,A)$. Let $R$ be the resolvent of ...
- 6,853
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Over a given finite field, how many couples of matrices there are, for which their minimal polynomials are co-prime?
Let ${\mathbb F}_{q}$ be a given finite field. How many couples of $n\times n$ matrices $\left(A,B\right)$ over ${\mathbb F}_{q}$, such that $\gcd\left(\mu_{A}\left(\lambda\right),\mu_{B}\left(\lambda\...
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Why impossible events have some drawbacks or pathologies in probability theory?
It is said by Halmos, P.R.; in "Lectures on ergodic theory"
"Many of the difficulties of measure theory and all the pathology of the subject arise from the existence of sets of measure ...
4
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Limiting value of expectation of trace of exponential of Wishart matrix
Let $X$ be an $n \times d$ random matrix with iid entries from $N(0, 1/d)$. Let $S:=X^\top X/n$, a $d \times d$ Wishart matrix and let $T = e^{S} := \sum_{k=0}^\infty \dfrac{S^k}{k!}$ be its ...
- 6,853
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Explaning why the spectrum of a setting simple structure random matrix is always spiked ($d-1$ eigenvalues close to zero, and $1$ away from zero)
For concreteness, let $m=500$, $d=600$, $N=1000$. Let $W$ be and $d \times m$ matrix with unit-norm rows and let $u$ be a uni-norm vector of length $m$. Given a binary vector $b$ of length $m$, length ...
- 6,853
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161
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Determinant bounded away from zero
Suppose $P(A_1,\dots,A_k,A_1^{-1},\dots,A_k^{-1})$ is a noncommutative polynomial with positive coefficients. We may then consider the map $g:U(n)^k\rightarrow\mathbb{C}$ from the unitary group $U(n)$,...
- 163
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91
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Spectrally-weighted Stieltjes transform of random matrix $Z=XX^\top$ in terms of Stieltjes transform of $Z$ and the weighting function
Let $n$ and $d$ positive integers going to infinity such that $d/n \to \gamma \in (0,\infty)$. Let $X$ be a random $n \times d$ iid rows from $N(0,\Sigma)$, where $\Sigma = diag(\lambda_1,\ldots,\...
- 6,853
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Limiting value of $\dfrac{1_n^\top B^{-1} A B^{-1} 1_n}{d}$, where $A=WW^\top + a I_n$, $B = WW^\top + b I_n$, and $W \sim N(0,\Sigma_d)$
Let $n$ and $d$ be positive integers with
$$
n,d \to \infty, \quad n/d \to \rho \in (0,\infty).
$$
Let $\Sigma_d$ be a psd matrix such that
$\mbox{trace}(\Sigma_d) = 1$.
$\|\Sigma_d\|_{op} = \mathcal ...
- 6,853
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Is there a noncommutative Gaussian?
In classical probability theory, the (multivariate) Gaussian is in some sense the "nicest quadratic" random variable, i.e. with second moment a specified positive-definite matrix. I do not ...
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454
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Free multiplicative convolution of two random matrices
Given two freely independent random hermitian matrices $A$ and $B$ following laws $\mu, \nu$, one can compute the empirical spectral distribution of $AB$ by their free multiplicative convolution $\mu\...
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Q-Gaussian processes and probability space
It is well known that for isonormal Gaussian processes, one can decompose the space $L^2(\Omega)$ into Wiener chaos so that the space $L^2(\Omega)$ is isomorphic to the direct sum of the Wiener chaos, ...
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Probabilistic lower and upper-bounds for a certain random quartic form involving gaussian random matrices
Let $d,m \to \infty$ (integers) with $m/d \to \rho \in (0, \infty)$. Let $C$ be a $d \times d$ psd matrix with $trace(C)=\mathcal O(1)$, and let $w_1,\ldots,w_m$ be iid uniformly distributed on the ...
- 6,853
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Asymptotic lower and upper bounds for the eigenvalues of hadamard product $W \circ W$, where $W$ is a large Wishart matrix
Let $n$ and $d$ be large positive integers with $n,d \to \infty$ such that $n/d \to \gamma \in (0,\infty)$. Let $X$ be a random $n \times d$ random matrix with iid copies of log-concave isotropic ...
- 6,853
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Combinatorial formula to compute the moments of the product of two free random variables
I found in the PhD thesis Moments method for random matrices with applications to wireless communication the following combinatorial formula to compute the free moments of the product of two random ...
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How to compute the first moment of the distribution of the convolution of Marcenko-Pastur law with a not iid matrix?
Let $\mathbf{F}$ denote an M × N matrix whose entries are independent zero-mean complex random variables, the limiting eigenvalue distribution is given by the Marchenko Pastur law $MP_{\beta}$, where $...
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Limiting eigenvalue distribution of $YY^\top$ where $Y_{ij} = X_{ij} + a$ and $X$ has iid rows from an isotropic log-concave distribution
Let $a \in \mathbb R$ be a determinstic scalar and let $X$ be and $n \times d$ such that the $n \times n$ psd random matrix $S=XX^T$ has limiting eigenvalue distribution $\mu$, when $n,d \to \infty$ ...
- 6,853
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For fixed $\lambda \ge 0$, Integrate the function $f_\lambda(x):=x/(x + \lambda)^2$ w.r.t. Marchenko-Pastur density
In trying to solve another the problem posed in the question https://www.mathoverflow.net/q/385777/78539, I'm led to consider the following problem.
Let $\mu_\gamma$ be the Marchenko-Pastur ...
- 6,853
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High-probability lower bound for norm of least squares solution when both design matrix $X$ and response vector $y$ are random (and independent)
Let $n,d \to \infty$ with $n/d \to \gamma \in (0,\infty)$. Let $X$ be a random $n \times d$ matrix independent rows uniformly distributed on the the unit-sphere in $\mathbb R^d$ and let $y$ be a ...
- 6,853
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Using linearization trick (free probability) to compute limiting singular-value density of $R=XY+Z+A$ (or equivalently, of $RR^\top$)
Disclaimer. I only started learning the subject of free probability $1$ day ago, and I'm still trying to absorb the fundamentals, while applying them to my own specific problems arizing in the ...
- 6,853
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3
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Quick derivation of classical probability theory from von Neumann algebraic framework
Watching (the begining of) a lecture on free probability theory by Dimitri Shlyakhtenko https://www.youtube.com/watch?v=F8Urtr39jM0, I'm led to consider the following question
Question. How can one ...
- 6,853
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144
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Bounds for the extreme singular-values of random matrix with thresholded entries
Let $n,d,k$ be large positive integers such that $\max(n/d,k/d) =: \lambda < 1$. Let $X$ be a random $n \times d$ matrix with entries drawn iid from $N(0,1/d)$ and let $W$ be a $k \times d$ random ...
- 6,853
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Is $L(\mathbb{Z}*\mathbb{Z}_{2})$ a free group factor?
This is a reference request for something that is likely to be well-known to operator algebraists. I will not, therefore, include the technical definition of free product of finite von Neumann ...
- 7,047
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1
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Bound on eigenvalues of sample covariance matrices in terms of $d, n$, where $n=$ sample size, $d=$ dimension of data
Let $Z=[z_1, \dots z_n]$ be a $d \times n$ matrix, where the $z_i$'s are iid random vactors with mean $\mu \in \mathbb{R}^d$ and $d \times d$ (population) covariance matrix $\Sigma$, but the entries $...
- 1,465
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Marcenko-Pastur and Tracy-Widom laws for sample covariance and Gram matrices when the "features" are correlated: references
Let us assume we've a rectangular data matrix $X=[x_1 \dots x_n] \in \mathbb{R}^{p \times n}$, where the $x_i \in \mathbb{R}^{p \times 1}$ are iid column vectors. I'm not assuming here that the ...
- 1,465
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115
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Distribution of the $k$-th largest eigenvalue of in the sample covariance matrix?
Let us assume we've a rectangular data matrix $X=[x_1 \dots x_n] \in \mathbb{R}^{p \times n}$, where the $x_i \in \mathbb{R}^{p \times 1}$ are iid column vectors. I'm not assuming here that the ...
- 1,465
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votes
1
answer
320
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Marcenko Pastur law when the dimensionality/sample size ratio $p/n \to 0, \infty$? Lack of resources?
Let $X: \Omega \to \mathbb{R}^{p \times n}$ be a random matrix so that each entry $X_{ij}$ is a random variable with $\mathbb{E}X_{ij}=0, \mathbb{E}X_{ij}^2=\sigma^2$
I was wondering what would ...
- 1,465
1
vote
1
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The problems of global asymptotic freeness
Let $X_{N}\in\mathcal{M}_{N}\big(L^{\infty-}(\Omega,\mathbb{P})\big)$ be a $N\times N$ random complex matrix such its entries $(x_{ij}, 1\leq i, j\leq N)$ be $i.i.d.$, centred with variance $1$. $X_{...
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How high to build a dam in Amsterdam in order that the probability of a flooding within the next 100 years be less than 1%? [closed]
In the preface of the monography, Pr. D. Voiculescu Wrote:
"Free probability and operator algebras The well-known question about how high to build a dam in Amsterdam in order that the probability ...
- 137
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1
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221
views
Are they the $N\times N$ random matrices with real or complex entries asymptotically free?
The $N\times N$ random matrices with real or complex entries are generalizations of non-hermitian gaussian ensembles, also known as Girko ensemble: the entries are independent and identically ...
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2
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393
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Does free probability have anything to say about the eigenvalue correlations of random matrices?
Free probability provides a compact route to compute the average eigenvalue density for various families of random matrices in the large $N$ limit. Does it provide any route to eigenvalue correlations,...
- 1,038
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1
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307
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Berry-Esseen type theorem for Monotonic independence
The central limit theorem states that, under certain circumstances, the probability distribution of the scaled mean of a random sample converges to a normal distribution as the sample size increases ...
- 152
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0
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200
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Convergence in probability in the setting of free probability
Let $A_n$ and $B_n$ be sequences of positive-definite random matrices whose empirical spectral distributions converge to (possibly different) limiting spectral distributions $\mathcal A$ and $\mathcal ...
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1
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356
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The fundamental group of the von Neumann algebra of a free group of infinite rank
It is well-known that that the fundamental group (in the sense of Murray and von Neumann) of the factor $L(F_{\mathbb{N}})$ is
$\mathbb{R} \smallsetminus \{0\}$. I think that by the cutting and ...
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1
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281
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The definition of amalgamated free product for general von Neumann algebras
When discussing the amalgamated free product von Neumann algebras, people often assume that the algebras are $\sigma$-finite. I am wandering if there is any literature on the amalgamated free product ...
- 481
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3
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998
views
Why a random variable is better described by its cumulants than by its characteristic function?
It is a classical and well known problem that a random variable $X$ is not uniquely determined by its moments $\mathbb{E}(X_n)$. The moment problem is the problem of determining the probability ...
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