Questions tagged [random-matrices]
Statistics of spectral properties of matrix-valued random variables.
307 questions with no upvoted or accepted answers
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Delta function representation as an integral of Pfaffians over SO(2m)
Define $\mathcal S$ as the set of all $2^m$ skew-symmetric $2m \times 2m$ matrices with the form $\oplus_{j=1}^m\begin{pmatrix} 0&\pm 1 \\ \mp 1&0\end{pmatrix}$.
Let $S_i, S_j \in \mathcal{S}$...
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Analytic / algebraic characterization of the limiting value of the unique nonnegative root of a polynomial
I'm interested in the following problem which arises from some "random matrix theory" calculations. Let $\phi,s_1,s_2, p > 0$ with $p \in [0,1]$, and set $p_1=p$, $p_2=1-p$, and $q_k := ...
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Variance and expected value of power of normal matrix elements
Here is the next problem: we have $n\times n$ random matrix $\hat{A}$, each element of this matrix is independent real random variable with normal distribution ($\mu=0, \sigma^2=1/n$). Matrix is no-...
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Expectation of the Inverse of Sum of Weighted Identity Wishart Matrices
As noted in the title, suppose $A=\sum_{i=1}^{n}\lambda_ig_ig_i^T$ where $g_i\sim N(0,I_d)$ and $d < n$.
Essentially, $A$ is the weighted sum of $W_d(I_d,n)$. Ultimately, I want to calculate the ...
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What is known about the distribution of eigenvectors for random positive semidefinite matrices?
Let $\{x_i\}_{i=1}^n \subset \mathbb{R}^d$ be iid random vectors drawn from probability measure $P$.
Define the random $d \times d$ real positive semidefinite matrix,
$$
S_n = \frac{1}{n} \sum_{i=1}^n ...
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Bound p-th order moments for a random Wishart matrix to show the sub-exponential property
Let $a\in\mathbb{R}^k$ be a random vector sampled from $N(0,\Sigma)$. Let $X = aa^T - \Sigma$. Then we have $\mathbb{E} X = 0$. Can we find a constant $C\in\mathbb{R}$ and another fixed matrix $A\in\...
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RMT for modified Wishard matrix $Y'Y$ (where $i$th row of $Y$ is zero if $|x_i^\top u| \le \theta$; else it equals $x_i$)
Let $n$ and $d$ be positive integers tending to infinity such that $d/n \to \phi \in (0,\infty)$. Let $X$ be an $n \times d$ random matrix with iid rows $x_1,\ldots,x_n$ from $N(0, \Sigma)$, where $\...
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Random pseudo-inverse matrix problem
Given a matrix $M \in \mathbb{R}^{n \times N_d}$, $N_d \gg n$ and $\mathrm{rank}(M) = n$, the entries of $M$ are denoted as $M_{[ij]}, i = 1,...,n, j = 1,..., N_d$ and $M_{[ij]} \in [-\textbf{m}, \...
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Question about the spectrum of a deformed GOE matrix
Consider a fixed real value $\sigma>0$. Let $A,Z$ be two independent $n\times n$ GOE matrices, and define $B=A+\sigma Z$. I am interested in finding a bound (possibly dependent on $n$) for the ...
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Convergence of edge eigenvalues for Gaussian matrices
I am reading this lecture note.
I have a difficulty in understanding the third section in chapter 6. Particularly, in Theorem 4.1, they claimed that
Let $X$ be a Gaussian Wigner matrix satisfying ...
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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).
$$
Let $X_1 \in \mathbb R^{n_1 \times d}$ and $X_2^{n_2 \times d}$ be independent ...
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Computation of Brown measure of the shift operator on $\ell^2(\mathbb N)$?
This looks an extremely simple question - I am just trying to give an example of Brown measure, https://en.wikipedia.org/wiki/Brown_measure, so I try to compute it for the left/right-shift operator on ...
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Maximizing the trace of the resolvent of a Wishart matrix over positive unit trace matrices?
Let $G$ be a standard $d \times d$ Wishart random matrix and consider the problem of maximizing the function
$$
f(M) = \mathbb{E}\Big[\mathrm{tr}((G + M^{-1})^{-1})\Big],
$$
over the class of real ...
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Conditional distributions of random orthogonal projection matrix
I have encountered a rather curious question.
Suppose I have a symmetric idempotent orthogonal projection matrix $A\in\mathbb R^{N\times N}$ that projects onto a uniformly random $n$-dimensional ...
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Expectation of the trace of random matrix with an inverse insided
Consider a $N$-dimensional random complex vector $\mathbf{x} \in \mathbb C^{N \times 1}$ following the complex Gaussian distribution, i.e., $\mathbf{x} \sim {CN}(0,\sigma^2 \mathbf{I})$, where $\...
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Probability that two random gaussian matrix will have large distance
I have two independent random gaussian matrix $A$ and $B \in R^{d\times n}$, and i want to compute an upper bound of the probability that
$$Pr(\left\| (A-B)(A+B)^T\right\| \leq a)$$
One method might ...
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112
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Additivity of purity of random matrix products
Suppose $M$ is an $n\times n$ matrix with IID random entries drawn from $\mathcal{D}$ and $\sigma$ is the vector of its singular values. Define purity of $M$ as
$$\rho(M)=\frac{n \sum_i \sigma_i^4}{\...
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Expectation of the operator norm of projection of a random permutation matrix
Assuming I have a fixed dimension $p$ subspace of $\mathbb{R}^d$ orthogonal to $1^d$ and $VV^\top$ with $V \in \mathbb{R}^{d \times p}$ is the orthogonal projection to the subspace.
What bound can I ...
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Spectrum of Moore-Penrose pseudo-inverse multiplied by a constant
Consider a random rectangular matrix $X\in\mathbb{R}^{N\times P}$ where each entry is drawn from iid distribution with mean $m$ and variance $s^2$, and denote $X^+$ the Moore-Penrose pseudo-inverse.
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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 $...
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Integral of elements of random unitaries
It is known how to calculate the integral of elements of $N\times N$ Haar random unitaries using the Weingarten function:
$$\int \prod_{k=1}^n U_{i_kj_k} U_{m_kr_k}^* \mathrm d U = \sum_{\sigma,\tau} \...
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Using random matrix theory to calculate Lyapunov spectrum; relation between cumulative distribution and the spectrum
I am reading a paper using random matrix theory to calculate Lyapunov spectrum.
What particularly confuses me is
Why is the Lyapunov spectrum simply the inverse of $\chi(x)$ (the probabilistic ...
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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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Spectral CLT for random matrices with iid entries
Let $\lambda_1(A_n),...,\lambda_n(A_n)$ be the random eigenvalues of a random $(n \times n)$ matrix $A_n$. We can define the empirical spectral measure $\mu_n^{A_n}$ on $(\mathbb{C},\mathcal{B}(\...
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Is it possible to reduce eigenvalues of tensors to an matrix eigenvalue problem?
Can we construct a larger matrix $M$ such that its eigenvalues are the same as the eigenvalues of a tensor $T$ of order 3?
Let $\mathbf{T}$ be a fully symmetric tensor of order $3$ and size $N$. Its ...
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Wigner semicircle law and random measures
tl;dr: the proof of the Wigner semicircle law seems to confuse measures with random measures. I do not understand why. Scroll down until 'QUESTION' if you are fine with the theoretical stuff.
T. Tao ...
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Total variation convergence of random matrices and convergence of empirical spectral distributions
In the paper https://arxiv.org/pdf/1411.5713.pdf, on page 17, the authors prove in Theorem 7 that the total variation distance between the joint distribution of the entries of certain Wishart matrices ...
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Linear independence of Wishart matrices
Let $W\sim W_n(I,d)$ be a real Wishart matrix of an identity covariance matrix and $d$ degrees of freedom, i.e., $W=XX^T$ for $X$ being an $n\times d$ matrix whose entries are i.i.d sampled from a ...
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Minimal perturbation of a Wigner matrix needed to produce an orthogonal top eigenvector
The instructor proposed a the following statement in the passing and suggested that we think about it (although it is not required):
For any $N \times N$ Wigner matrix, we replace $k$ entries with ...
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Projecting a vector onto a random subspace
Let $A\in\mathbb{R}^{k\times d}$ be matrix with i.i.d. $\mathcal{N}(0,1/k)$ entries with $k<d$, and let $B=A^{\top}A$. I would like to compute the distribution of $Bx$ where $x\in\mathbb{R}^{d}$ is ...
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Solving integral equation with an unknown probability distribution
Considering this system of integral equations, where $\gamma \in \mathbb{R} $ and $\alpha\in \mathbb{C}$ are the unknown to solve :
$$ 1=\int_{-\infty}^{\infty} p(u) \frac{ -1}{\gamma-\left(u-z^{*}+\...
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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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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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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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"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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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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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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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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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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Eigenvalue density for correlated samples
Suppose we generate $P$ samples $\mathbf{x}^1, \dots, \mathbf{x}^P$ from a multivariate normal distribution of dimension $N$, mean zero and covariance $\Sigma$.
Let $\mathbf{C}=\frac{1}{P}\sum_{k=1}^...
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What functions can one try employing to fit an apparently doubly-periodic real function over $[0,1]$?
I have a cosine-like data curve over $x \in [0,1]$ that I can rather well-fit by
a function of the form $a \cos{2 \pi x} +b$. Although good, the fit is still lacking,
in that the residuals from the ...
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How to mathematically justify the "sampling" over only $100$ random matrices to estimate percolation thresholds?
As mentioned in the textbook "Introduction to Percolation Theory" (Chapter 4) by Stauffer et al., the variation of spanning cluster percolation probability $\Pi$ in a finite $L < \infty$ square ...
user127888
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Probability of collision of sums of vectors
Let $S_1$ and $S_2$ be sets of vectors from $\mathbb{R}^d$ that are distinct and let $\sigma(\cdot)$ be a non-linearity, e.g., a componentwise sigmoid function.
Does there exist a random matrix $R \...
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138
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Zero-mean unit variance complex value independent Gaussian Random Variables in Matrix
Let $G$ be $m\times n (m\ge n)$ random matrix of zero-mean unit variance complex value independent Gaussian Random Variables. Then what is distribution of eigenvalues of $G^HG$ and how to obtain the ...
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Average of Tracy-Widom distribution
I have posted this to MSE, but it got no attention (https://math.stackexchange.com/questions/2619324/average-of-tracy-widom-distributions)
The Tracy-Widom distributions famously describe the ...
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Voronin universality of random analytic functions with nontrivial zeros on a line
Recently a certain random analytic function was defined by probabilists: in an appropriate sense the limit of characteristic polynomials of random unitary matrices. Associated functions for other ...
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110
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Order statistics of the diagonal terms of an inverse Wishart matrix
I have a question about the inverse Wishart matrix. In my understanding, consider $\mathbf H$ is a $n\times n$ matrix with each elements are complex Gaussian with zero mean unit variance. Then $\...
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$l_{\infty}$ norms of matrix perturbations
Say $B$ is a real symmetric matrix of dimension $n$ and $A$ is another real symmetric matrix of the same dimension.
What needs to be the bounds on (which?) norm of $B$ to ensure that $\lambda_{max}(...
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eigenvalue distribution of random projection
Suppose that $A$ is an $n\times n$ diagonal matrix with positive diagonal elements and $\Pi$ is a random $k\times n$ matrix that could be
(a) i.i.d. Gaussian, or
(b) $k$ rows of a random orthogonal ...
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