# Questions tagged [random-matrices]

Statistics of spectral properties of matrix-valued random variables.

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### Moments on the Stiefel manifold

Let $S_{n, k} = \{V \in \mathbb{R}^{n \times k} : V^T V = I_k\}$ denote the Stiefel manifold, $1 \leq k \leq n$. Let $P \in \mathbb{R}^{n \times n}$ denote a symmetric real, positive definite matrix, ...
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### Matrix-Gaussian distributions

The point of this question is to ask for references on matrix-variate Gaussian distributions. But I will explain what I mean by a matrix-variate Gaussian with an example (the notion I have in mind is ...
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### "High complexity" of eigenbasis of Wigner matrices?

Let $W$ be an $N \times N$ complex Wigner matrix, i.e. i.i.d. entries restricted to Hermitian matrices. Let $W=UDU^{\ast}$, i.e. $U$ encodes the eigenbasis of $W$. Are there any statements known about ...
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### Spectral bound for sample covariance matrix without assuming $X = \Sigma^{\frac{1}{2}} Z$

Let $X$ be a random $(p \times n)$-matrix with iid centered columns and suppose the entries of $X$ all have light tails (in a strong enough sense, for example sub-Gaussian). Are there any results ...
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### Dot product of a randomly orientated vector and a fixed vector

Let us consider a random variable $Z$ with a probability density function $f$ with respect to the Haar measure on $\mathrm{SO}(3)$. Next, we consider two fixed normal vectors $u,v$ in $\mathbb{R}^3$. ...
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### Random matrix with power law decay in eigenvalues

What positive semi-definite random matrices have (roughly) $n^{-\alpha}$ for $n^{th}$ singular value? The power law decay need not be exact. I want to find random matrix ensembles that naturally ...
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### Convergence in probability of quadratic form with positive mean

Let $\boldsymbol{X}_n\in\mathbb{R}^n$ be a sequence of Gaussian random vectors with independent entries, such that $X_{n,i}\sim \mathcal{N}(\mu_i,\sigma^2)$ (that is, all entries of the $n$th vector ...
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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 ...
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### Computation of Brown measure of the shift operator on $\ell^2(\mathbb N)$?

This looks an extremely simple question - I am just trying to give an example of Brown measure, https://en.wikipedia.org/wiki/Brown_measure, so I try to compute it for the left/right-shift operator on ...
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### Eigenvalue analysis of $X^T (XX^T + \mathrm{Id})^{-1} X$ for $X$ iid random matrix

Consider the following quantity $$X^T (XX^T + \mathrm{Id})^{-1} X,$$ where $X \in \mathbb{R}^{m\times n}$ is a iid random matrix with 0 mean and finite variance. The empiric covariance matrix ${X^T X}$...
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### Maximizing the trace of the resolvent of a Wishart matrix over positive unit trace matrices?

Let $G$ be a standard $d \times d$ Wishart random matrix and consider the problem of maximizing the function $$f(M) = \mathbb{E}\Big[\mathrm{tr}((G + M^{-1})^{-1})\Big],$$ over the class of real ...
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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 $$\tau(XYXY)=\tau(X)^2\tau(Y^2)+\tau(X^2)\tau(Y)^2-\tau(X)^2\tau(Y)^2$$ ...
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### A second-order recursion (functional equation)

In a calculation of some momenta of random matrices (GOE), I encounter a functional equation, in the form of a second-order recursion, $$L(s+1)=L(s)+2s(2s+1)L(s-1).$$ Is it familiar to someone ? Is ...
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### Conditional distributions of random orthogonal projection matrix

I have encountered a rather curious question. Suppose I have a symmetric idempotent orthogonal projection matrix $A\in\mathbb R^{N\times N}$ that projects onto a uniformly random $n$-dimensional ...
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### Is there a closed-form solution for $\max_D \operatorname{Tr}(ADBD)$

Is there a closed-form solution for $$\max_D \operatorname{Tr}(ADBD)$$ where $D$ is a $N\times N$ diagonal matrix with $m<N$ number of $1$'s and the rest are $0$'s, and $A$ and $B$ are real ...
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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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### Dimension-free sample complexity for the inverse of Gaussian sample covariance?

Suppose I have $m$ samples drawn from a Gaussian in $\mathbb{R}^n$, and need the inverse of the sample covariance $\Sigma_m^{-1}$ to be $\varepsilon$-close to true inverse covariance $\Sigma^{-1}$ (in ...
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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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### Matrices over $\mathbb{F}_p$ that have nonzero determinant under any element permutation

$\DeclareMathOperator\GL{GL}$A few months ago, the following discussion took place on AoPS, concerning matrices that have nonzero determinant under any permutation of their entries: https://...
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### Isolated eigenvalues of a random matrix

This is a continuation of this question. Let $O$ be a random orthogonal matrix (according to Haar measure) of size $n$. I want to study the eigenvalues of the matrix $O+O^\top + \lambda uu^\top$ where ...
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### Spectral density of symmetrized Haar matrix

Let $O$ be a random orthogonal matrix (according to Haar measure) of size $n$. I found by simulations that the spectral density of $O+O^\top$ is the arcsin law rescaled to the interval $[-2,2]$. I can'...
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### 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 $v \in \mathbb R^d$, ...
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