# Questions tagged [random-matrices]

Statistics of spectral properties of matrix-valued random variables.

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### About concentration of eigenvalues values of a random symmetric matrix in a specific interval

Given a random symmetric matrix $M$ and two numbers $\lambda_\min$ and $\lambda_\max$ how do we calculate the expected or high probability value of the fraction of its eigenvalues which lie in the ...

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21 views

### On full rank submatrices of a construction

Take two matrices $T_1$ and $T_2$ in $\mathbb Z^{n\times n}$ with entries uniformly in $[-b,b]\cap\mathbb Z$ at some $b>0$. The matrices will be of rank $n$ each with probability at least $1-\frac1{...

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87 views

### Rates of convergence to Tracy-Widom?

$\renewcommand{\!}{\mathbf}
\renewcommand{\Ai}{\operatorname{Ai}}$
One can define the Tracy-Widom distribution as the Fredholm determinant $F_2(t)=\det(\mathbf I-\mathbf A)$ where
$$\mathbf A(x, y)=\...

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27 views

### Fixing coefficients using analytic structure

I am trying to understand an exercise in a set of lecture notes on random matrices - Eynard - Random matrices - given in the paragraph following (4.6.60) (pp. 70–71).
Specifically, I am trying to fix ...

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35 views

### Approximating expectation of exponential of Wishart matrix

I am trying to obtain an Approximating expectation of exponential of Wishart matrix $X (N,N)$ with $\operatorname{rank} (X)=K$defined as:
\begin{align}
J = E[{e^{{v^H}Xv}}]
\end{align}
where $v$ is $...

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43 views

### Concentration (or two sided tail bounds around expectations) of maximum and minimum of $n$ iid, subgaussian random variables

I asked this on MSE, but got no answer, hence asking here now. Help appreciated!
My question is motivated by this question and this question, where the first was aimed for giving a one sided tail ...

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49 views

### Approximating expectation of the trace of inverse of a Gaussian random matrix combination

In order to characterize the performances of MIMO systems that depend directly on the distribution of the eigenvalues of random Hermitian matrix so I would like to feature the quality of some ...

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68 views

### Expectation of the trace of inverse of a Gaussian random matrix

Given a $N×M$ random complex gaussian matrix $X$ and $N×K$ random complex gaussian matrix $Y$ I'm interested in approximating the expectation expressed as:
\begin{align}
E[trace({(aX{X^H} + I)^{ - ...

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59 views

### Genes mirror geography on a torus?

Disclaimer: this is an open-ended, imprecise question, asking for speculation in a topic that I know relatively little about (random matrix theory and principal component analysis). I originally asked ...

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50 views

### Concentration of norm of linearly transformed normal random vector as dimension go to infinity

Earlier asked on MSE, but didn't get an answer, so posting here:
Let $X=(X_1 \dots X_n) \in \mathbb{R}^n, X_i\sim N(0,1), iid.$ Let $B: \mathbb{R}^n \to \mathbb{R}^n $ be the diagonal linear map: $...

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41 views

### “Probability” for a partitioned matrix to be singular

Let $A,B\in\mathbb{R}^{n\times n}$ be two nonsingular matrices with $A\ne B$, and consider the following partitioned matrix
$$
M:=\begin{bmatrix}AA^\top + BB^\top & A^\top \Delta_1 A + B^\top \...

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43 views

### What is the distribution of the norm of the multivariate $X \sim \mathcal{N}(\mu, \Sigma) \in \mathbb{R}^d?$

Let $X \sim \mathcal{N}(\mu, \Sigma) \in \mathbb{R}^d$ follow a multivariate normal distribution. Then what's the distribution (PDF, CDF etc.) of $X?$ When $\mu = 0, \Sigma = I_d,$ we know that $||X||...

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62 views

### If a sequence $X_n$ of RVs converges in probability to $X$, does the sequence $\mathbb{E}(X_n)$ also converge to $\mathbb{E}(X)$? [closed]

I couldn't find the answer in literature so any idea would be helpful.

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34 views

### Good upper-bound for $\mathbb E_A[e^{-t\|A\|_2}]$, for $t\ge0$ and random m by n matrix with iid entries with law $N(0,1)$

Let $A$ be a random $m$-by-$n$ matrix with iid $N(0,1)$ entries, $m$ and $n$ large with $n/m \longrightarrow \alpha \in (0, 1)$ . Let $\|A\|_2$ be the largest singular value of $A$ (i.e the spectral ...

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209 views

### Upper-bound for eigenvalues of $E [UU^T]$, where $U$ is uniformly distributed on the unit $n$-sphere

Let $X$ be a $\sigma$-subGaussian random vector on $\mathbb R^n$ (for large $n \ge 3$), meaning that the random variable $X^Tv$ is $\sigma$-subGaussian for every unit vector $v \in \mathbb R^n$. ...

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93 views

### Asymptotically tight concentration of norms of subgaussian random vectors with independent coordinates, as the dimension $n \to \infty?$

Let $X=(X_1 \dots X_n)\in \mathbb{R}^n,$ be a subgaussian random vector so that $X_i$'s are independent, $\mathbb{E}X_i = 0, \mathbb{E}X_i^2=1.$ Before we pose our question, let's state the following:
...

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37 views

### Concentration of $2$-norms of random variables whose co-ordinates are not independent?

Let us consider the random vector $X=[X_1 \dots X_d] \in \mathbb{R}^d, E[X]= 0, cov[X]= \Sigma.$ Then the random vector $Z:= \Sigma^{-1/2} X=[Z_1 \dots Z_d]$ has $E[Z]=0, cov[Z]=I_d.$ I'm looking for ...

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53 views

### Comparison of concentrations of different $L^p$-norms of (sub) Gaussian distributions

It's well-known that the Euclidean $2$-norm of subgaussian random vectors concentrates in high dimensions, e.g. when $X \sim \mathcal{N}(0,I_n),$ (or in general $X$ is subgaussian with independent co-...

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101 views

### Singular values of random uniform matrix

Suppose $X \in \mathbb{R}^{N \times M}$ with elements sampled i.i.d. from $\mathcal{U}(-\sigma, \sigma)$.
I would like to find the marginal distribution of the unordered singular values of $X$.
The ...

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157 views

### Terminology: “sufficiently large absolute constant”

I'm currently reading the paper "Random matrices: The distribution of the smallest singular values" by '"Terence Tao and Van Vu" and have run into some terminology which I don't quite (rigorously) ...

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44 views

### Upper bound on the condition number of the product of a random sparse matrix and a semi-orthogonal matrix

Let $G \in \mathbb{R}^{n \times m}$ (m > n, m = O(n)) whose all entries are i.i.d. distributed as $\mathcal{N}(0, 1) * \text{Ber}(p)$. Let $V \in \mathbb{R}^{m \times n}$ be a fixed semi-orthogonal ...

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69 views

### Random sparse and invertible matrices

Let $n\leq m$ and $0\leq k\leq (n\times m - \min\{n,m\})$ be in $\mathbb{N}$. Let $\mu$ be a probability measure dominated by the Lebesgue measure on $\mathbb{R}$ and generate a random $n\times m$ ...

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113 views

### Eigenvalues and eigenvectors of Gaussian random matrices

Let us assume we have a square matrix $A$ whose entries are sampled from a standard Gaussian distribution of mean $0$. Do we have any information about the distribution of its eigenvalues?
...

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60 views

### Reference request for concentration on measure, following Vershynin's “High dimensional Probability” book, referred often in this question

I'm new to "concentration of measure" phenomenon that I need to learn quickly (started already, but would like to pick up the remaining basic results all within a week or two to get a working ...

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149 views

### Minimum of $\mathrm{rank}\left( \boldsymbol{W} \boldsymbol{H} \right)$, with $\boldsymbol{W}$ block diagonal

Let us assume that we have a full-rank $(n\cdot l)\times k$ matrix, $\boldsymbol{H}$, with no specific structure (e.g., a realization of a Gaussian i.i.d. random matrix), and an $m\times (n\cdot l)$ ...

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85 views

### Symplectic geometry connects random density matrices?

This question arises from studying the following papers: Christandl et al. '14 and Mejia et al. '16.
These two papers use a connection between symplectic geometry and reduced density matrix. In ...

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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 $...

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49 views

### Law of large numbers and Central Limit Theorem for eigenvalues of perturbed matrices

I'm looking for results where perturbation by iid random entries to a matrix will result in convergence of the eigenvalues to the original eigenvalues. More precisely,
Let $ \forall n \in \mathbb{N},...

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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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120 views

### A general formula for Gaussian integrals over matrix elements

The question I have is quite specific. So in the hope that this post might help others in the future, my problem boils down to solving the following integral:
$$I_\tau=\int \prod_{i, j=1}^{N} d J_{i ...

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54 views

### Universality of the top eigenvalue of correlation matrices

Let $X$ be a $N\times P$ matrix with random independent and identically distributed entries $x_{ij}$. I also assume that $\langle x\rangle = 0$ and $\langle x^2\rangle = 1$.
Define the $N\times N$ ...

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113 views

### Large scale analysis of matrix multiplications

Let $\mathbf{A}_{m\times n}$ and $\mathbf{B}_{m\times n}$ be two random i.i.d matrices with zero mean and unit variance. Then, are the following large-scale analysis true (m,n go to infinity with ...

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### Tracy Widom type results for asymptotic distribution of the $k$-th largest eigenvalue of the sample covariance when $n, p \to \infty$?

Earlier I asked a question: Distribution of the $k$-th largest eigenvalue of in the sample covariance matrix?, but I forgot to mention that I'd like results for asymtotic regime. So, I'm posting here ...

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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 ...

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**1**answer

90 views

### Show the coordinate distribution has a very large sub-gaussian norm

Consider a random vector X with the coordinate distribution is uniformly distributed in the set $\{\sqrt{n}e_i : i = 1,..., n\}$, where $e_i$ denotes the n-element set of the canonical basis vectors ...

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78 views

### Expectation of inverse of random matrices

Assume that $\mathbf{X}$ is a random positive-definite matrix. Then, is there any upper or lower bound on the expectation of the following expression
$$\mathbb{E}[\mathbf{X}^{-1}]-\alpha\mathbb{E}[\...

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### Is there any relation between moments of random matrix and its eigenvalue distribution?

Let $\mathbf{X}$ be a random matrix with independent Gaussian random variable entries with different variances $v_{ij}$. Also define $\mathbf{A}=\mathbf{X}^\mathrm{H}\mathbf{X}$. Is there any relation ...

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149 views

### Eigenvalue distribution of a random matrix

Is there any closed form distribution formula for the distribution of the eigenvalues of $\mathbf{X}^\mathrm{H}\mathbf{X}$ where the entries of $\mathbf{X}$ are independent Gaussian random variables ...

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### Limit of normalized sum of Dirac measures at first $\lfloor p/2\rfloor$ eigenvalues of the sample covariance matrix, with Marcenko-Pastur assumptions?

Let $\lfloor{*}\rfloor$ denotes the nearest integer $\le *$. I'm asking myself the question what's the limit of the part of the empirical spectral distribution corresponding to the first $\lfloor{p/2}...

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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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41 views

### When a unique solution is found for a matrix of unknown coefficients, A, that have infinite solutions? How to optimise trace(A) s.t. row sum 1?

Let $\boldsymbol{A}_{(n\times n)}=[a_{ij}]$ be a square matrix such that the sum of each row is 1 and $a_{ij}\ge0$$(i=1,2,\dots,n~\text{and}~j=1,2,\dots,n)$ are unknown. Suppose that $\boldsymbol{b}_{...

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289 views

### Mehta integral and orthogonality

The Mehta integral is the following expression:
$$\frac{1}{(2\pi)^{n/2}}\int_{-\infty}^{\infty} \cdots \int_{-\infty}^{\infty} \prod_{i=1}^n e^{-t_i^2/2}
\prod_{1 \le i < j \le n} |t_i - t_j |^{2 \...

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### Spectrum of large random asymmetric matrices with correlation

Background:
In their paper, Sommers Crisanti Sompolinsky and Stein derive the spectral distribution of large random matrices $\mathbf{J}$ by studying the following integral:
\begin{equation}
I=\left[\...

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74 views

### Jacobian of changing of variables to singular value decomposition

It is well known that changing variables from a symmetric matrix to its eigenvalue decomposition involves a Jacobian which is just the Vandermonde determinant of the eigenvalues.
Now suppose I have a ...

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90 views

### Singular value decomposition of random rectangular matrices

Let $A$ be a $m\times n$ real matrix, whose entries are independent, identically distributed random variables, following standard normal distributions (mean zero and unit variance).
What is the ...

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144 views

### Eigenvalue distribution of a band matrix

Let $\mathbf M_i$ be rectangular matrices of dimensions $N_{i-1}\times N_i$. We assume that their entries are random, with zero mean and variance $\sigma_i^2$.
For some positive integer $k$, I define ...

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125 views

### Tighter upper bound for $\mathbb{E} [\max_{\sigma \in \{ \pm 1\}^n} \sigma^T W \sigma]$

Following this question I was thinking about ways to improve the upper bound and came up with the following argument. We want to find an upper bound for
\begin{equation}
\mathbb{E} [\max_{\sigma \in ...

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269 views

### Minimizing the largest eigenvalue of random matrices

Let $A \in \mathbb{R}^{n \times n}$ be a symmetric matrix with entries $A_{ij} \sim \mathcal{N} (0,1)$, all independent except for the symmetry condition.
Consider the following minimization problem:...

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126 views

### Is there a bound on the norm of the product of second moment matrix with random vector?

Let $X_1,\dots,X_n$ be vectors in $\mathbb{R^d}$. Assume all of the vectors are inside the unite $\ell_2$ ball, but outside the ball of radius $r$ for some $r \in (0,1)$, i.e. $r \leq \|X_i\| \leq 1$ ....

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51 views

### Variant of Marcenko-Pastur law when the random sample always lie on a low, fixed dimensional subspace as $n,p\to \infty$?

Let our data set (or rather, sequence of datasets) be denoted by $X:=[x_1,...x_n] \in \mathbb{R}^{p\times n}$, where each datum $x_i \in \mathbb{R}^{p\times 1}$. Assume the hypothesis of Marcenko-...