Heavy-tailed random matrices

zbMATH Open1236.15066arXiv0909.5228MaRDI QIDQ3105253FDOQ3105253

Authors: Zdzislaw Burda, J. Jurkiewicz 

Publication date: 5 January 2012

Abstract: We discuss non-Gaussian random matrices whose elements are random variables with heavy-tailed probability distributions. In probability theory heavy tails of the distributions describe rare but violent events which usually have dominant influence on the statistics. They also completely change universal properties of eigenvalues and eigenvectors of random matrices. We concentrate here on the universal macroscopic properties of (1) Wigner matrices belonging to the Levy basin of attraction, (2) matrices representing stable free random variables and (3) a class of heavy-tailed matrices obtained by parametric deformations of standard ensembles.

Full work available at URL: https://arxiv.org/abs/0909.5228

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zbMATH Keywords

eigenvalueseigenvectorsGaussian random matricesWigner matricesheavy-tailed probability distributionsnon-Gaussian random matricesLévy basin of attraction

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

Cited In (14)

• Heavy tailed random matrices: how they differ from the GOE, and open problems
• Sub-Gaussian estimators of the mean of a random matrix with heavy-tailed entries
• Spectral densities of Wishart-Lévy free stable random matrices
• Exact multivariate amplitude distributions for non-stationary Gaussian or algebraic fluctuations of covariances or correlations
• Local tail statistics of heavy-tailed random matrix ensembles with unitary invariance
• Random matrix models for datasets with fixed time horizons
• Eigenvector statistics of Lévy matrices
• On the top eigenvalue of heavy-tailed random matrices
• Towards non-Hermitian random Lévy matrices
• Matrix Kesten recursion, inverse-Wishart ensemble and fermions in a Morse potential
• Level statistics and localization transitions of Lévy matrices
• Delocalization at small energy for heavy-tailed random matrices
• Extreme eigenvalue statistics of \(m\)-dependent heavy-tailed matrices
• Extreme value problems in random matrix theory and other disordered systems

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