Random matrix theory and its applications

DOI10.1214/20-STS799OpenAlexW3184522547MaRDI QIDQ2075698

Publication date: 15 February 2022

Published in: Statistical Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/20-sts799

zbMATH Keywords

Wishart matrix eigenvalue density Wigner matrix spiked covariance model Wigner's semicircle law Jacobi ensembles Gaussian ensembles Tracy-Widom laws Mar\(\breve{\text{c}}\)enko-Pastur's quarter-circle law Wishart-Laguerre ensembles

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

Rmtstat
RMTool

Cites Work

Distributions of Matrix Variates and Latent Roots Derived from Normal Samples
Some Non-Central Distribution Problems in Multivariate Analysis
Random Matrix Theory and Wireless Communications
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
The Tracy-Widom law for the largest eigenvalue of F type matrices
Minimax bounds for sparse PCA with noisy high-dimensional data
Asymptotic power of sphericity tests for high-dimensional data
Random covariance matrices: universality of local statistics of eigenvalues
The Wigner-Dyson-Mehta bulk universality conjecture for Wigner matrices
On estimation in the reduced-rank regression with a large number of responses and predictors
The limit of the smallest singular value of random matrices with i.i.d. entries
Free probability and random matrices
Extreme eigenvalues of large-dimensional spiked Fisher matrices with application
Random matrices: universality of local eigenvalue statistics
A graph-based equilibrium problem for the limiting distribution of nonintersecting Brownian motions at low temperature
Limit of the smallest eigenvalue of a large dimensional sample covariance matrix
Fast approach to the tracy-widom law at the edge of GOE and GUE
Characteristic vectors of bordered matrices with infinite dimensions
On the distribution of the roots of certain symmetric matrices
Zonal polynomials of the real positive definite symmetric matrices
Multivariate analysis and Jacobi ensembles: largest eigenvalue, Tracy-Widom limits and rates of convergence
Spectrum estimation for large dimensional covariance matrices using random matrix theory
Finite sample approximation results for principal component analysis: A matrix perturbation approach
The largest eigenvalues of finite rank deformation of large Wigner matrices: Convergence and nonuniversality of the fluctuations
Universality results for the largest eigenvalues of some sample covariance matrix ensembles
The polynomial method for random matrices
Spectral analysis of large dimensional random matrices
The smallest eigenvalue of a large dimensional Wishart matrix
On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
A note on the largest eigenvalue of a large dimensional sample covariance matrix
Necessary and sufficient conditions for almost sure convergence of the largest eigenvalue of a Wigner matrix
A limit theorem for the norm of random matrices
Limit laws for random matrices and free products
The strong limits of random matrix spectra for sample matrices of independent elements
Estimating the dimension of a model
A refinement of Wigner's semicircle law in a neighborhood of the spectrum edge for random symmetric matrices
Level-spacing distributions and the Airy kernel
A note on universality of the distribution of the largest eigenvalues in certain sample covariance matrices
Universality at the edge of the spectrum in Wigner random matrices.
Consistency of AIC and BIC in estimating the number of significant components in high-dimensional principal component analysis
Optimality and sub-optimality of PCA. I: Spiked random matrix models
On the distribution of the largest eigenvalue in principal components analysis
Non-intersecting paths, random tilings and random matrices
On orthogonal and symplectic matrix ensembles
Random matrices: Universality of local eigenvalue statistics up to the edge
Shape fluctuations and random matrices
Limiting behavior of eigenvalues in high-dimensional MANOVA via RMT
Asymptotics of empirical eigenstructure for high dimensional spiked covariance
The smallest singular value of inhomogeneous square random matrices
Testing in high-dimensional spiked models
Eigenvalue distributions of variance components estimators in high-dimensional random effects models
Sharp detection in PCA under correlations: all eigenvalues matter
Optimal shrinkage of eigenvalues in the spiked covariance model
Random matrix theory in statistics: a review
Eigenvalues of large sample covariance matrices of spiked population models
On the asymptotic distribution of the eigenvalues of random matrices
Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices
On the principal components of sample covariance matrices
Combinatorics of patience sorting piles
Determinantal Point Processes for Machine Learning
ESTIMATION OF SPIKED EIGENVALUES IN SPIKED MODELS
Non-Negative Principal Component Analysis: Message Passing Algorithms and Sharp Asymptotics
Universality of Wigner random matrices: a survey of recent results
Rank 1 real Wishart spiked model
Beta ensembles, stochastic Airy spectrum, and a diffusion
Random matrix theory
Bulk universality for Wigner matrices
An Introduction to Random Matrices
On the distribution of the length of the longest increasing subsequence of random permutations
Longest increasing subsequences: from patience sorting to the Baik-Deift-Johansson theorem
Developments in random matrix theory
The statistical properties of the city transport in Cuernavaca (Mexico) and random matrix ensembles
On the Distribution of Spacings Between Zeros of the Zeta Function
Patterns in eigenvalues: the 70th Josiah Willard Gibbs lecture
On Consistency and Sparsity for Principal Components Analysis in High Dimensions
Distribution of the Largest or the Smallest Characteristic Root Under Null Hypothesis Concerning Complex Multivariate Normal Populations
The Threefold Way. Algebraic Structure of Symmetry Groups and Ensembles in Quantum Mechanics
A Dynamical Approach to Random Matrix Theory
Characterization of Chaotic Quantum Spectra and Universality of Level Fluctuation Laws
A model for the bus system in Cuernavaca (Mexico)
Analysis of aeroplane boarding via spacetime geometry and random matrix theory
Random Matrices in Physics
The Distribution of the Latent Roots of the Covariance Matrix
Asymptotic Theory for Principal Component Analysis