Questions tagged [free-probability]
The free-probability tag has no usage guidance.
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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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Limiting value of normalized trace of $A^{-1} e^{-tW} A e^{-tW}$, where $W$ is Wishart matrix and $A$ is deterministic
Let $n$ and $d$ be large positive integers and let $\gamma \in (0,\infty)$.
Let $X$ be an $n \times d$ random matrix with iid entries from $N(0,1/d)$.
Let $A$ be an invertible deterministic $d \times ...
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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 ...
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Free probalities and random matrices : on the asymptotic joint behavior of non self-adjoint random matrices with non Gaussians entries
One of the famous theorem in random matrix theory is one termed circular law. It is stated that if $a_{ij}$, for all $1\leq i\leq n, 1\leq j\leq n$,, is a famille of $i.i.d.$ complexe centered random ...
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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 ...
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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 ...
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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 $U(n)$,...
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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,\...
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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 ...
- 6,338
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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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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 ...
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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 ...
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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 $n,d \to \infty$ ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 $...
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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 ...
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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 ...
- 1,223
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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 ...
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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 ...
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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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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,...
- 1,036
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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 ...
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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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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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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 ...
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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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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 ...
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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 ...
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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 ...
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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)...
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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) = *...
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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 ...
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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 ...
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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) ...
- 1,269
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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.
...
- 125k
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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{...
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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 $\sum_ia_iX_i$....
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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 ...
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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 ...
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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. ...
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