The asymptotic distribution of the condition number for random circulant matrices
From MaRDI portal
Publication:2093404
DOI10.1007/S10687-022-00442-WzbMATH Open1504.60011arXiv2109.02282OpenAlexW4283803331WikidataQ114226491 ScholiaQ114226491MaRDI QIDQ2093404FDOQ2093404
Paulo Cesar Manrique Mirón, Gerardo Barrera
Publication date: 8 November 2022
Published in: Extremes (Search for Journal in Brave)
Abstract: In this manuscript, we study the limiting distribution for the joint law of the largest and the smallest singular values for random circulant matrices with generating sequence given by independent and identically distributed random elements satisfying the so-called Lyapunov condition. Under an appropriated normalization, the joint law of the extremal singular values converges in distribution, as the matrix dimension tends to infinity, to an independent product of Rayleigh and Gumbel laws. The latter implies that a normalized condition number converges in distribution to a Fr'echet law as the dimension of the matrix increases.
Full work available at URL: https://arxiv.org/abs/2109.02282
condition number[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Fr%EF%BF%BD%EF%BF%BDchet+distribution&go=Go Fr��chet distribution]Gumbel distributionRayleigh distributioncirculant random matricesLyapunov integrability condition
Probability distributions: general theory (60E05) Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Random matrices (probabilistic aspects) (60B20) Stationary stochastic processes (60G10) Ill-posedness and regularization problems in numerical linear algebra (65F22) Numerical computation of matrix norms, conditioning, scaling (65F35)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Time series: theory and methods.
- Tails of Condition Number Distributions
- On the CLT for discrete Fourier transforms of functional time series
- Limit of the smallest eigenvalue of a large dimensional sample covariance matrix
- Condition
- A Remark on Stirling's Formula
- Eigenvalues and Condition Numbers of Random Matrices
- Numerical Inverting of Matrices of High Order. II
- Spectral norm of circulant-type matrices
- Quenched limit theorems for Fourier transforms and periodogram
- Circulant type matrices with heavy tailed entries
- Poisson convergence of eigenvalues of circulant type matrices
- Numerical inverting of matrices of high order
- Probability theory. A comprehensive course
- Probability Inequalities
- A note on the largest eigenvalue of a large dimensional sample covariance matrix
- Smoothed Analysis of the Condition Numbers and Growth Factors of Matrices
- The Probability That a Numerical Analysis Problem is Difficult
- Extremal laws for the real Ginibre ensemble
- Non-asymptotic theory of random matrices: extreme singular values
- Upper and Lower Bounds for the Tails of the Distribution of the Condition Number of a Gaussian Matrix
- Random matrices: The distribution of the smallest singular values
- ROUNDING-OFF ERRORS IN MATRIX PROCESSES
- Poisson statistics for the largest eigenvalues of Wigner random matrices with heavy tails
- Special matrices of mathematical physics: Stochastic, circulant and Bell matrices
- Poisson convergence for the largest eigenvalues of heavy tailed random matrices
- Estimating the norms of random circulant and Toeplitz matrices and their inverses
- Condition Numbers of Gaussian Random Matrices
- Central limit theorem for Fourier transforms of stationary processes
- Limiting spectral distribution of a special circulant
- Extensions of results of Komlós, Major, and Tusnády to the multivariate case
- On the efficiency of algorithms of analysis
- Limiting spectral distribution of circulant type matrices with dependent inputs
- Condition numbers of random matrices
- The maximum of the periodogram of a non-Gaussian sequence.
- A remark on the maximum eigenvalue for circulant matrices
- Product of exponentials and spectral radius of random \(k\)-circulants
- Spectral norm of circulant type matrices with heavy tailed entries
- Limiting spectral distribution of random \(k\)-circulants
- On maxima of periodograms of stationary processes
- Some results on random circulant matrices
- On circulant matrices
- On the asymptotic distributions of maxima of trigonometric polynomials with random coefficients
- The Exact Distribution of the Condition Number of a Gaussian Matrix
- On the Distribution of a Scaled Condition Number
- Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case
- Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series
- Complexity theory of numerical linear algebra
- An upper bound on the smallest singular value of a square random matrix
- The periodogram at the Fourier frequencies
- Numerical stability for solving nonlinear equations
- Large-deviation asymptotics of condition numbers of random matrices
- Condition Numbers of Random Triangular Matrices
- Least singular value and condition number of a square random matrix with i.i.d. rows
- The top eigenvalue of the random Toeplitz matrix and the sine kernel
- Large sample autocovariance matrices of linear processes with heavy tails
- Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
- A note on the characterizations of the distributions of the condition numbers of real Gaussian matrices
- The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
- Smallest singular value and limit eigenvalue distribution of a class of non-Hermitian random matrices with statistical application
- Extreme eigenvalue statistics of \(m\)-dependent heavy-tailed matrices
- Point process convergence for the off-diagonal entries of sample covariance matrices
- A remark on the smallest singular value of powers of Gaussian matrices
- Universality of the minimum modulus for random trigonometric polynomials
- Probabilistic analyses of condition numbers
Cited In (1)
This page was built for publication: The asymptotic distribution of the condition number for random circulant matrices
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2093404)
