Questions tagged [free-probability]

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2
votes
1answer
48 views

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 $...
2
votes
1answer
46 views

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 ...
0
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0answers
44 views

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 ...
0
votes
1answer
50 views

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
vote
1answer
133 views

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_{...
2
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0answers
109 views

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 ...
0
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1answer
129 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 ...
3
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2answers
218 views

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,...
0
votes
1answer
195 views

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 ...
1
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0answers
135 views

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 ...
2
votes
1answer
199 views

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 ...
5
votes
1answer
167 views

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 ...
5
votes
3answers
475 views

Why a random variable is better described by its cumulants than by its characteristic funtion?

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 ...
1
vote
1answer
142 views

Brown measure of left shift operator

Let $L$ be the left shift operator on $\ell^2(\mathbb{Z})$ with trace $\tau(T) := \langle T \delta_0, \delta_0 \rangle$. How can I show that the Brown measure of $L$ is the uniform measure on the ...
23
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3answers
3k views

Why is free probability a generalization of probability theory?

Note: This question was already asked on Math.SE nearly a week and a half ago but did not receive any responses. To the best of my knowledge, free probability is an active topic of research, so I hope ...
1
vote
4answers
346 views

Independence of two noncommutative observables

If two observables are free, you can find the joint distribution of these two observables. But, by Heisenberg's Uncertainty Principle it is impossible unless $X$ and $Y$ are such that $XY=YX$. Is ...
4
votes
1answer
216 views

Can we solve the FGF problem by finding an appropriate action?

If we can find an action of the free group $\mathbb{F}_2$ on a measure space $X$ such that the crossed product $M=L^∞(X)⋊\mathbb{F}_2$ is a ${\rm III}_1$ factor with core isomorphic to $L(\mathbb{F}_2)...
3
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0answers
197 views

Uniqueness of the reduced free product of unital completely positive maps

For $1\leq i\leq n$, let $\psi_i$ be a faithful state on the C$^*$-algebra $A_i$ and $\phi_i$ be a faithful state on the C$^*$-algebra $B_i$. Let $(A,\psi) = *_{i=1}^n (A_i,\psi_i)$ and $(B, \phi) = *...
3
votes
1answer
126 views

Existence of free operators, independent and with given distributions

Excuse me if the question is not appropriate for Mathoverflow. I havs asked it in math.stackexchange, but did not get any response. And so, I dared to put it here. I am trying to learn free ...
4
votes
1answer
204 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
1answer
194 views

Relating the R-transform in free probability to noncommutative group representations

In traditional (commutative) probability theory, sums of random variables correspond to convolutions of distribution functions, which plays well with the Fourier Transform. In free (noncommutative) ...
10
votes
1answer
299 views

Non-abelian freeness of SU_2

The distribution of the trace of a random element of $SU_2$ is the Sato-Tate distribution. The analogue of the Gaussian distribution in free probability theory is the Wigner semicircle distribution. ...
8
votes
0answers
315 views

C* algebras of free semicircular systems

It was shown by Pimsner and Voiculescu in 1982 that the reduced group $C^{*}$-algebras $C^{*}_{r}(\mathbb{F}_{n})$ and $C^{*}_{r}(\mathbb{F}_{m})$ are isomorphic if and only if $n = m$ (here, $\mathbb{...
4
votes
1answer
529 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 $\sum_ia_iX_i$....
24
votes
3answers
2k views

Why did Voiculescu develop free probability?

I was recently asked why Voiculescu developed free probability theory. I am not very expert in this and the only answer I was able to provide is the classical one: he was challenging the isomorphism ...
10
votes
2answers
2k 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 ...
3
votes
0answers
203 views

Recursive formula for joint moments in free probability

Suppose $\mathfrak{A}$ is an algebra (over $\mathbb{C}$, let's say), $\phi$ a linear functional on $\mathfrak{A}$, and $A_1, A_2 \subset \mathfrak{A}$ subalgebras which are $\phi$-freely independent. ...
37
votes
8answers
2k views

How to quantify noncommutativity?

If I have two operators or finite-dimensional matrices $A$ and $B$, how can I quantify the amount to which they commute or don't commute? (I would consider it a big plus if it is computable easily for ...
4
votes
1answer
591 views

Classical convolution VS Free Convolution

We denote $\varphi:\mathbb R^2\rightarrow\mathbb R$ the addition of real numbers, and $\varphi_*:M_1(\mathbb R^2)\rightarrow M_1(\mathbb R)$ the induced push-forward map (where $M_1(\Delta)$ stands ...
4
votes
0answers
324 views

What is 'arch' in Vershik-Kerov's 1984 paper?

In their 1984 paper Asymptotic of the Largest and the Typical Dimensions of Irreducible Representations of a Symmetric Group, Vershik and Kerov use the notation $\DeclareMathOperator{\arch}{arch}\arch ...
2
votes
1answer
182 views

Uniqueness of free complements

Let $A,B$ be subfactors of a II$_1$ factor $M$ with $A*B\simeq M$. That is, $A$ and $B$ are freely independent with respect to the trace and $M\simeq A\vee B$. We'll call $B$ a free complement for $A$ ...
9
votes
4answers
762 views

Relationship between free probability and deterministic graphs?

Consider the $N\times N$ matrix $$ M = \left(\begin{array} \\ 0 & 1 & & 0 \\ 1 & \ddots & \ddots & \\ & \ddots & \ddots & 1 \\ 0 & & 1 & 0 \\ \end{...
6
votes
0answers
874 views

Relationship between R-transform and free convolution of random matrices?

I've been using the R-transform to calculate the free convolution of the eigenvalue spectra of two random matrices and I am trying to understand how it works, and in particular how it relates to ...