The mutual affinity of random measures

DOI10.1023/B:MAHU.0000010811.07567.95MaRDI QIDQ1882120zbMATH OpenOpenAlexFDO

Authors P. Spincemaille, Mark Fannes, P. Spincemaille

Publication date 19 October 2004

Published in Periodica Mathematica Hungarica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math-ph/0112034

zbMATH Keywords

affinity between probability measuresGram matrixMarchenko-Pastur distributionmutual affinityrandom probability measures

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Convergence of probability measures (60B10) Random measures (60G57)

Abstract: We consider a set of probability measures on a finite event space $Omega$. The mutual affinity is introduced in terms of the spectrum of the associated Gram matrix. We show that, for randomly chosen measures, the empirical eigenvalue distribution of the Gram matrix converges to a fixed distribution in the limit where the number of measures, together with the cardinality of $Omega$, goes to infinity.

Review text

The paper considers a set of probability measures defined on a finite event space \(\Omega\), and defines the notion of mutual affinity among these measures in terms of spectrum of the associated Gram matrix. The aim of the paper is to study, in Section 2 of the paper, the Gram matrix for independently and randomly chosen probability measures, when the cardinality \(n=\text{Card}(\Omega)\) of \(\Omega\), and the number \(k(n)\) of measures become large, i.e.\ in the limit \(n\), \(k\to \infty\), provided that the ratio \(k/n=\alpha\) (or \(k/n\to \alpha)\), with \(\alpha\) a fixed positive number. The authors prove, on the basis of Stieltjes transform, that the empirical eigenvalue distribution of the Gram matrix of the i.i.d.\ (independent and identically distributed) probability measure converges in expectation to the Marchenko-Pastur distribution. For the spectrum of the Gram matrix \(G\) it is pointed out the presence of one eigenvalue which is much larger than the others. This eingenvalue is the norm of the Gram matrix \(G\), and \(G\) is positive definite, it grows linearly with the value \(n=\text{Card}(\Omega)\). The remaining eigenvalues are shown to typically concentrate on an interval close to zero. Moreover, Section 3 strengthens these results for the almost sure convergence of the empirical eigenvalue distributions.

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Cites work

• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Free Random Variables
• scientific article; zbMATH DE number 3842535 (Why is no real title available?)
• scientific article; zbMATH DE number 1465044 (Why is no real title available?)
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• The spectral radii and norms of large dimensional non-central random atrices matrices

Cited in

(8)

• Affinity in paired event probability
• Quantumness of pure-state ensembles via coherence of Gram matrix based on generalized -z-relative Rényi entropy
• Gram matrices of mixed-state ensembles
• scientific article; zbMATH DE number 5003757 (Why is no real title available?)
• Mutual and shared neighbor probabilities: finite- and infinite-dimensional results
• The expected characteristic and permanental polynomials of the random Gram matrix
• Quantifying the quantumness of pure-state ensembles via coherence of Gram matrix
• The empirical distribution of the eigenvalues of a Gram matrix with a given variance profile

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