All Questions
11 questions
3
votes
0
answers
334
views
Tail bound on trace norm / nuclear norm / Schatten-1 norm of Rademacher matrix
Let $0 < r \leq d$ integers. Let $X$, $Y$ be $d \times r$ matrices of independent Rademacher variables, that is, $X,Y \in \mathbb{R}^{d \times r}$ with entries $\pm1$ with probability $1/2$. I am ...
- 223
3
votes
0
answers
225
views
Eigenvalues of Hadamard product of two Wishart-type matrices
Given two independent Gaussian matrices with i.i.d. entries: $A\in\mathbb{R}^{n\times p}$ and $B\in\mathbb{R}^{n\times q}$, where and $A_{i,j},B_{i,j}\sim\mathcal{N}(0,1)$. Assume that $\max(p,q)<n....
- 31
-1
votes
1
answer
138
views
On the concentration of Lipschitz functions near its expectation, where the vector has identical but not independent, components
Consider the random vector $X:=(X_1\dots X_1) \in \mathbb{R}^n, X_1 \sim \mathcal{N}(0,1).$ Notice the identical components, they're identically distributed but not independent.
Now, I was wondering ...
- 1,467
0
votes
1
answer
378
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: $...
- 1,467
1
vote
1
answer
407
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_{...
- 137
3
votes
1
answer
178
views
Tail probability of random projection
Suppose $v\in R^n$ is a constant unit vector. $P_l$ is a random projection matrix to an $l$ dimensional subspace of $R^n$ which is uniformly sampled from $G(l,R^n)$ which is the collection of all $l$-...
- 1,495
3
votes
0
answers
371
views
On the precise concentration of permanent of $\pm1$ matrices
Obtain $M\in\{-1,+1\}^{n\times n}$ by unbiased coin flipping.
What is known about the distribution of permanent $\mathsf{Perm}(M)$? It seems to be bimodal.
Given a function $g(n)$ what is the ...
user94040
7
votes
0
answers
758
views
Product of two random Gaussian matrices - orthant probability
Let $X \in \mathbb{R}^{m \times n}$ and $Y \in \mathbb{R}^{n \times k} $ be two independent Gaussian random matrices, i.e., with entries independently sampled from $\mathcal{N}(0,1)$ (a normal ...
- 968
9
votes
1
answer
886
views
Concentration of sum of powers of normals
Let $Z_1,Z_2,\ldots,Z_n$ be i.i.d. copies of a random variable $Z$ distributed as $\frac{1}{\sqrt{2}}X+i\frac{1}{\sqrt{2}}Y$ with $X$ and $Y$ independent standard Normal random variables i.e.~$X\sim\...
- 859
5
votes
1
answer
284
views
concentration of random matrices involving normal random variables
Define the random variable
\begin{align*}
A=|a_1|^2\mathbf{a}\mathbf{a}^*
\end{align*}
where $\mathbf{a}\in\mathbb{c}^n$ is a random vector distributed as $\mathcal{N}(0,\mathbf{I}/2)+i\mathcal{N}(0,\...
- 859
5
votes
1
answer
765
views
Measure concentration for weakly dependent random variables
For an application quite alien to probability theory, I'd like to have a kind of measure concentration estimate, in the following spirit. Suppose that to every $1\le i,j\le n$ there corresponds a zero-...
- 23k