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Statistics of spectral properties of matrix-valued random variables.
8
votes
1
answer
315
views
Why does this combinatorial sum vanish?
We define the coefficients $c_{k,k-i}$ of ${n \choose k}$ by the following easy expansion:
\begin{align*}
& {n \choose k} = \frac{1}{k!} n(n-1) \dots (n-k+1) = \frac{1}{k!} \prod\limits_{t=0}^ …
5
votes
2
answers
320
views
Is there a 'natural' projection from $O(n)$ into $S_n$?
Is there an easily definable projection $F$ from the orthogonal group $O(n)$ into the permutation group $S_n$, which has the following properties?
$F(P_\sigma) = \sigma$ for all $\sigma \in S_n$
$F^ …
4
votes
2
answers
236
views
A 'projective' property of the Haar U(n) measure
Let $U(n)$ be the compact manifold of unitary $(n \times n)$-matrices and let $\mu_n$ denote the Haar-probability measure on $U(n)$. For $m < n$ does there exists a measurable (maybe even continuous o …
3
votes
1
answer
382
views
Is this combinatorial identity known? (of interest for random matrix theory)
While playing around with random matrices and I arrived at a different formula for the mean of the limiting normal distribution for a spectral CLT for sample covariance matrices. More precisely I have …
3
votes
0
answers
111
views
Is the exact formula for the trace moments of an isotropic complex Wishart matrix known?
Let $\mathbb{X}_{p,n}$ be a $(p \times n)$ random matrix whose entries are iid complex standard normal random variables. The hermitian random matrix $\mathbb{S}_{p,n} = \frac{1}{n} \mathbb{X}_{p,n} \m …
2
votes
Accepted
Matrix concentration inequality for unbounded (sub-exponential) matrices
First assume $\Sigma = \operatorname{Id}$. Write $A=((a_j)_{i})_{i \leq k, j \leq n}$, then $L_1 := AA^T$ is said to be a real Wishart matrix or $1$-Laguerre matrix. In this case some extremely sharp …
2
votes
0
answers
27
views
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 boun …
0
votes
0
answers
127
views
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}(\mathb …