The beta-Wishart ensemble

DOI10.1063/1.4818304zbMATH Open1286.15044arXiv1305.3561OpenAlexW2089106933MaRDI QIDQ5407650FDOQ5407650

Authors: Alexander Dubbs, Alan Edelman, Plamen Koev, Praveen S. Venkataramana 

Publication date: 7 April 2014

Published in: Journal of Mathematical Physics (Search for Journal in Brave)

Abstract: This paper proves a matrix model for the Wishart Ensemble with general covariance and general dimension parameter beta. In so doing, we introduce a new and elegant definition of Jack polynomials.

Full work available at URL: https://arxiv.org/abs/1305.3561

Recommendations

• Eigenvalue distributions of beta-Wishart matrices
• The densities and distributions of the largest eigenvalue and the trace of a beta-Wishart matrix
• Matrix models for beta ensembles
• Probability densities and distributions for spiked and general variance Wishart \(\beta\)-ensembles
• A matrix model for the β-Jacobi ensemble

zbMATH Keywords

random matrixalgorithmeigenfunctionLaplace-Beltrami operatorjoint eigenvalue densityJack polynomial\({\beta}\)-Wishart ensemblebroken arrow matrixextreme eigenvalue distribution

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

Cites Work

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Cited In (13)

• Densities of the extreme eigenvalues of Beta-MANOVA matrices
• Classical integrability for beta-ensembles and general Fokker-Planck equations
• Algorithm for the product of Jack polynomials and its application to the sphericity test
• Hypergeometric functions of matrix arguments and linear statistics of multi-spiked Hermitian matrix models
• Asymptotic behavior of the distributions of eigenvalues for beta-Wishart ensemble under the dispersed population eigenvalues
• Phase transitions for products of characteristic polynomials under Dyson Brownian motion
• The beta-MANOVA ensemble with general covariance
• Eigenvalue distributions of beta-Wishart matrices
• The densities and distributions of the largest eigenvalue and the trace of a beta-Wishart matrix
• Limits for circular Jacobi beta-ensembles
• Title not available (Why is that?)
• Eigenfunction statistics of Wishart Brownian ensembles
• Weak chaos and mixed dynamics in the string S-matrix

Uses Software

• RMTool

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