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42 views

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 ...
1 vote
0 answers
57 views

Limiting value of expectation of trace of truncated Gram matrix

Let $n$ and $d$ be large positive integers such that $d/n = a \in (0,1)$, fixed. Let $x_1,\ldots,x_n$ be iid random vectors from $N(0,I_d)$. Fix $b \in (0,1]$ and a unit-vector $v \in \mathbb R^d$, ...
2 votes
0 answers
96 views

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 ...
0 votes
0 answers
60 views

Norms of Wigner matrices under power law decay

Suppose $\Sigma=\operatorname{diag}(h)$ where $h=(1^{-p},2^{-p},3^{-p},\ldots,d^{-p})$ and $p> 1$ $X$ is a matrix with $b$ rows sampled independently from $\operatorname{Normal}(0,\Sigma)$ Suppose $...
3 votes
0 answers
78 views

Using Kac-Rice formula to count average number of sub-regions carved out by $n$ random hyper-planes

Context. This is the first in a set of tiny pieces of a problem I've formulated to help me measure the "complexity" of certain piecewise linear functions. Thanks in advance for your help and patience. ...
40 votes
1 answer
5k 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 ...
2 votes
0 answers
1k views

Random matrices whose limit gives exact Wigner surmise

Let $M$ come from an ensemble of $N\times N$ matrices. The Wigner surmise is density function $p^W_0(s)=\frac{\pi}{2}se^{-\pi s^2/4}$. From a random matrix point of view, we can write $\rho^W_0(s)=\...