An Introduction to Random Matrices

DOI10.1017/cbo9780511801334zbMath1184.15023OpenAlexW653925602MaRDI QIDQ3651575

Greg W. Anderson, Alice Guionnet, Ofer Zeitouni

Publication date: 11 December 2009

Full work available at URL: https://doi.org/10.1017/cbo9780511801334

zbMATH Keywords

monographStieltjes transformspectral radiusrandom matricesFredholm determinantscentral limit theoremsWigner matricesfree probabilityTracy-Widom distributionsemicircle lawWishart matricesgap probabilityGaussian ensemblesWigner's Theoremjoint distributions of eigenvalues

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to linear algebra (15-01)

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Random Matrices, Testing for high-dimensional geometry in random graphs, On connections between the theory of random operators and the theory of random matrices, RANDOM MATRICES: SHARP CONCENTRATION OF EIGENVALUES, Eigenvalues of Random Matrices with Isotropic Gaussian Noise and the Design of Diffusion Tensor Imaging Experiments, Bulk universality of general β-ensembles with non-convex potential, Universality in bipartite mean field spin glasses, The norm of polynomials in large random and deterministic matrices, A concentration inequality and a local law for the sum of two random matrices, Large deviations of the extreme eigenvalues of random deformations of matrices, Support convergence in the single ring theorem, Continuum statistics of the Airy\(_{2}\) process, Asymptotic expansion of \(\beta \) matrix models in the one-cut regime, Universality properties of Gelfand-Tsetlin patterns, On the maximal size of large-average and ANOVA-fit submatrices in a Gaussian random matrix, The moment convergence rates for largest eigenvalues of \(\beta\) ensembles, On finite rank deformations of Wigner matrices, Supremum of the \(\mathrm{Airy}_{2}\) process minus a parabola on a half line, Gaussian multiplicative chaos for symmetric isotropic matrices, Eigenvector distribution of Wigner matrices, Markov processes of infinitely many nonintersecting random walks, Concentration and convergence rates for spectral measures of random matrices, Random matrices: Universality of local eigenvalue statistics up to the edge, Empirical spectral distributions of sparse random graphs, Malliavin calculus for non-colliding particle systems, Three-parametric Marcenko-Pastur density, Discrete approximations of determinantal point processes on continuous spaces: tree representations and tail triviality, Traffic distributions of random band matrices, A random walk approach to linear statistics in random tournament ensembles, Mesoscopic fluctuations for unitary invariant ensembles, Contiguity and non-reconstruction results for planted partition models: the dense case, Circular law for the sum of random permutation matrices, Estimating tail probabilities of the ratio of the largest eigenvalue to the trace of a Wishart matrix, Random Laplacian matrices and convex relaxations, Hydrodynamic limit of multiple SLE, Loop models, random matrices and planar algebras, On the limiting spectral density of random matrices filled with stochastic processes, The \((q, t)\)-Gaussian process, Two-dimensional elliptic determinantal point processes and related systems, Small gaps of GOE, A rate of convergence for the circular law for the complex Ginibre ensemble, Sharp asymptotics for Fredholm pfaffians related to interacting particle systems and random matrices, Phase transitions for products of characteristic polynomials under Dyson Brownian motion, The Curie-Weiss model with complex temperature: phase transitions, Book review of: A. Bose, Patterned random matrices, Eigenvectors distribution and quantum unique ergodicity for deformed Wigner matrices, Fast sampling from \(\beta \)-ensembles, Moderate deviations for extreme eigenvalues of real-valued sample covariance matrices, A functional CLT for partial traces of random matrices, \(W\)-entropy formulas on super Ricci flows and Langevin deformation on Wasserstein space over Riemannian manifolds, Fluctuations of particle systems determined by Schur generating functions, An emergent autonomous flow for mean-field spin glasses, On collision of multiple eigenvalues for matrix-valued Gaussian processes, Lyapunov exponents of the half-line SHE, Macdonald-level extension of beta ensembles and large-\(N\) limit transition, Tracy-Widom distribution, Airy\(_2\) process and its sample path properties, Quantitative estimates of propagation of chaos for stochastic systems with \(W^{-1,\infty}\) kernels, How much can the eigenvalues of a random Hermitian matrix fluctuate?, A central limit theorem for star-generators of \({S}_{\infty }\), which relates to the law of a GUE matrix, A law of the iterated logarithm for directed last passage percolation, Semicircle law for generalized Curie-Weiss matrix ensembles at subcritical temperature, Optimality and sub-optimality of PCA. I: Spiked random matrix models, Roots of random polynomials with coefficients of polynomial growth, Asymptotic windings of the block determinants of a unitary Brownian motion and related diffusions, Rate of convergence for products of independent non-Hermitian random matrices, High-dimensional central limit theorems for a class of particle systems, Universality of the least singular value for the sum of random matrices, Fluctuation around the circular law for random matrices with real entries, Holographic entanglement negativity and replica symmetry breaking, Spectral fluctuations for Schrödinger operators with a random decaying potential, On the Laughlin function and its perturbations, Sum rules via large deviations: extension to polynomial potentials and the multi-cut regime, Limit theorems for Bessel and Dunkl processes of large dimensions and free convolutions, Recent advances in shrinkage-based high-dimensional inference, Recent advances on eigenvalues of matrix-valued stochastic processes, The spectral norm of random lifts of matrices, Triviality of the geometry of mixed \(p\)-spin spherical Hamiltonians with external field, Scattering in quantum dots via noncommutative rational functions, Asymptotic behaviour of linear eigenvalue statistics of Hankel matrices, Optimal delocalization for generalized Wigner matrices, Gap probability for products of random matrices in the critical regime, Eigenvector distribution in the critical regime of BBP transition, Universality for Langevin-like spin glass dynamics, Random matrix theory and its applications, A vector Riemann-Hilbert approach to the Muttalib-Borodin ensembles, Thermalisation for Wigner matrices, Thin-shell theory for rotationally invariant random simplices, Hausdorff dimensions for shared endpoints of disjoint geodesics in the directed landscape, Extreme eigenvalue statistics of \(m\)-dependent heavy-tailed matrices, GUE corners process in boundary-weighed six-vertex models, Fluctuations for matrix-valued Gaussian processes, Spectrum and pseudospectrum for quadratic polynomials in Ginibre matrices, Optimal multi-resolvent local laws for Wigner matrices, Freezing limits for beta-Cauchy ensembles, Three-halves variation of geodesics in the directed landscape, The many faces of the stochastic zeta function, Marginals of a spherical spin Glass model with correlated disorder, Optimal signal detection in some spiked random matrix models: likelihood ratio tests and linear spectral statistics, Exact minimax risk for linear least squares, and the lower tail of sample covariance matrices, Noncolliding Macdonald walks with an absorbing wall, Asymptotic expansions for a class of Fredholm Pfaffians and interacting particle systems, Concentration inequality around the thermal equilibrium measure of Coulomb gases, Duality for optimal couplings in free probability, Lozenge tilings and the Gaussian free field on a cylinder, Asymptotics of the inertia moments and the variance conjecture in Schatten balls, Skew information-based coherence generating power of quantum channels, Power spectrum of the circular unitary ensemble, Incompressibility estimates for the Laughlin phase. II, On the non-asymptotic concentration of heteroskedastic Wishart-type matrix, Gaussian free fields coupled with multiple SLEs driven by stochastic log-gases, CLT for non-Hermitian random band matrices with variance profiles, Large deviations for discrete \(\beta\)-ensembles, On the operator norm of non-commutative polynomials in deterministic matrices and iid Haar unitary matrices, Finite free convolutions of polynomials, A spectral condition for spectral gap: fast mixing in high-temperature Ising models, Dynamical universality for random matrices, Wigner and Wishart ensembles for sparse Vinberg models, Large deviations for Gibbs ensembles of the classical Toda chain, Statistical deconvolution of the free Fokker-Planck equation at fixed time, Fluctuations of \(\beta\)-Jacobi product processes, Exact lower-tail large deviations of the KPZ equation, Convergence rate to the Tracy-Widom laws for the largest eigenvalue of Wigner matrices, Norms of randomized circulant matrices, Large deviations for the largest eigenvalue of matrices with variance profiles, The \(\ell^p\)-Gaussian-Grothendieck problem with vector spins, Statistical enumeration of groups by double cosets, A spectral dominance approach to large random matrices, Weighted \(p\)-radial distributions on Euclidean and matrix \(p\)-balls with applications to large deviations, Asymptotics of discrete \(\beta \)-corners processes via two-level discrete loop equations, Functional equations solving initial-value problems of complex Burgers-type equations for one-dimensional log-gases, Perturbations of multiple Schramm-Loewner evolution with two non-colliding Dyson Brownian motions, Lower bounds for invariant statistical models with applications to principal component analysis, Phase retrieval by binary questions: which complementary subspace is closer?, Asymptotic topology of excursion and nodal sets of Gaussian random fields, On the speed and spectrum of mean-field random walks among random conductances, Lower tail of the KPZ equation, On the thin-shell conjecture for the Schatten classes, Spectral statistics of sparse Erdős-Rényi graph Laplacians, Random moment problems under constraints, Sanov-type large deviations in Schatten classes, Asymptotics of free fermions in a quadratic well at finite temperature and the Moshe-Neuberger-Shapiro random matrix model, The distribution of overlaps between eigenvectors of Ginibre matrices, Large deviations for the largest eigenvalue of the sum of two random matrices, Weak symmetries of stochastic differential equations driven by semimartingales with jumps, A note on species richness and the variance of epidemic severity, Quantum discrepancy: a non-commutative version of combinatorial discrepancy, Large deviation theorem for zeros of polynomials and Hermitian random matrices, Critical behavior of non-intersecting Brownian motions, The Dyson and Coulomb games, Nonasymptotic upper bounds for the reconstruction error of PCA, The noise-sensitivity phase transition in spectral group synchronization over compact groups, Traffic distributions and independence. II: Universal constructions for traffic spaces, Intersection of unit balls in classical matrix ensembles, Nonlinear large deviation bounds with applications to Wigner matrices and sparse Erdős-Rényi graphs, CLT for circular beta-ensembles at high temperature, Law of large numbers and central limit theorems through Jack generating functions, TAP free energy, spin glasses and variational inference, The lower tail of the half-space KPZ equation, Applications of mesoscopic CLTs in random matrix theory, Approximate ground states of hypercube spin glasses are near corners, \( \text{GUE}\times \text{GUE}\) limit law at hard shocks in ASEP, Band-limited mimicry of point processes by point processes supported on a lattice, Free transport-entropy inequalities for non-convex potentials and application to concentration for random matrices, Phase transition in the density of states of quantum spin glasses, Multiplicative functionals on ensembles of non-intersecting paths, Average characteristic polynomials of determinantal point processes, Cores of Dirichlet forms related to random matrix theory, Determinants of Seidel matrices and a conjecture of Ghorbani, Rigidity and a mesoscopic central limit theorem for Dyson Brownian motion for general \(\beta\) and potentials, Local spectral statistics of the addition of random matrices, On the stability of matrix-valued Riccati diffusions, Gaussian fluctuations of the determinant of Wigner matrices, Random characteristics for Wigner matrices, Quantitative normal approximation of linear statistics of \(\beta \)-ensembles, Universality of local statistics for noncolliding random walks, Concentration of the empirical spectral distribution of random matrices with dependent entries, The circular law for random regular digraphs, Examples of interacting particle systems on \(\mathbb{Z}\) as Pfaffian point processes: coalescing-branching random walks and annihilating random walks with immigration, Large deviations principle for the largest eigenvalue of the Gaussian \(\beta \)-ensemble at high temperature, Local laws for polynomials of Wigner matrices, The Jensen-Pólya program for various \(L\)-functions, Location of the spectrum of Kronecker random matrices, On the spectral gap of spherical spin glass dynamics, Convergence of the empirical spectral measure of unitary Brownian motion, The circular law for sparse non-Hermitian matrices, The middle-scale asymptotics of Wishart matrices, Incomplete determinantal processes: from random matrix to Poisson statistics, Rigidity of the three-dimensional hierarchical Coulomb gas, A large deviation principle for empirical measures on Polish spaces: application to singular Gibbs measures on manifolds, Edge of spiked beta ensembles, stochastic Airy semigroups and reflected Brownian motions, Matrix estimation by universal singular value thresholding, Estimation of the density of a determinantal process, Universality in polytope phase transitions and message passing algorithms, On the Marčenko-Pastur law for linear time series, Asymptotics of unitary multimatrix models: the Schwinger-Dyson lattice and topological recursion, Asymptotic domino statistics in the Aztec diamond, On singular value distribution of large-dimensional autocovariance matrices, The random matrix regime of Maronna's M-estimator with elliptically distributed samples, Diffraction theory of point processes: systems with clumping and repulsion, Transport maps for \(\beta\)-matrix models and universality, Vector energy and large deviation, Optimal local law and central limit theorem for \(\beta\)-ensembles, Analyticity results for the cumulants in a random matrix model, 2D Coulomb gases and the renormalized energy, Subordination for the sum of two random matrices, The matching energy of random graphs, Limit shapes for growing extreme characters of \(U(\infty)\), Expected centre of mass of the random Kodaira embedding