We introduce a one-parameter deformation of the Wishart-Laguerre or chiral ensembles of positive definite random matrices with Dyson index beta=1,2 and 4. Our generalised model has a fat-tailed distribution while preserving the invariance under orthogonal, unitary or symplectic transformations. The spectral properties are derived analytically for finite matrix size NxM for all three beta, in terms of the orthogonal polynomials of the standard Wishart-Laguerre ensembles. For large-N in a certain double scaling limit we obtain a generalised Marcenko-Pastur distribution on the macroscopic scale, and a generalised Bessel-law at the hard edge which is shown to be universal. Both macroscopic and microscopic correlations exhibit power-law tails, where the microscopic limit depends on beta and the difference M-N. In the limit where our parameter governing the power-law goes to infinity we recover the correlations of the Wishart-Laguerre ensembles. To illustrate these findings the generalised Marcenko-Pastur distribution is shown to be in very good agreement with empirical data from financial covariance matrices.
Catalan polynomials for the Wishart-Laguerre $β$-ensemble
North China University of Water Resources and Electric Power（华北水利水电大学）；Beijing Institute of Mathematical Sciences and Applications（北京应用数学与多物理场研究所）；Tsinghua University（清华大学）；Capital Normal University（首都师范大学）
The statistical behaviour of the smallest eigenvalue has important implications for systems which can be modeled using a Wishart-Laguerre ensemble, the regular one or the fixed trace one. For example, the density of the smallest eigenvalue of the Wishart-Laguerre ensemble plays a crucial role in characterizing multiple channel telecommunication systems. Similarly, in the quantum entanglement problem, the smallest eigenvalue of the fixed trace ensemble carries information regarding the nature of entanglement. For real Wishart-Laguerre matrices, there exists an elegant recurrence scheme suggeste…
The statistics of the smallest eigenvalue of Wishart-Laguerre ensemble is important from several perspectives. The smallest eigenvalue density is typically expressible in terms of determinants or Pfaffians. These results are of utmost significance in understanding the spectral behavior of Wishart-Laguerre ensembles and, among other things, unveil the underlying universality aspects in the asymptotic limits. However, obtaining exact and explicit expressions by expanding determinants or Pfaffians becomes impractical if large dimension matrices are involved. For the real matrices ($β=1$) Edelman …
The degree of entanglement of random pure states in bipartite quantum systems can be estimated from the distribution of the extreme Schmidt eigenvalues. For a bipartition of size M\geq N, these are distributed according to a Wishart-Laguerre ensemble (WL) of random matrices of size N x M, with a fixed-trace constraint. We first compute the distribution and moments of the smallest eigenvalue in the fixed trace orthogonal WL ensemble for arbitrary M\geq N. Our method is based on a Laplace inversion of the recursive results for the corresponding orthogonal WL ensemble by Edelman. Explicit example…
We collect explicit and user-friendly expressions for one-point densities of the real eigenvalues $\{λ_i\}$ of $N\times N$ Wishart-Laguerre and Jacobi random matrices with orthogonal, unitary and symplectic symmetry. Using these formulae, we compute integer moments $τ_n=<\sum_{i=1}^Nλ_i^n>$ for all symmetry classes without any large $N$ approximation. In particular, our results provide exact expressions for moments of transmission eigenvalues in chaotic cavities with time-reversal or spin-flip symmetry and supporting a finite and arbitrary number of electronic channels in the two incoming lead…
Using Beck and Cohen's superstatistics, we introduce in a systematic way a family of generalised Wishart-Laguerre ensembles of random matrices with Dyson index $β$ = 1,2, and 4. The entries of the data matrix are Gaussian random variables whose variances $η$ fluctuate from one sample to another according to a certain probability density $f(η)$ and a single deformation parameter $γ$. Three superstatistical classes for $f(η)$ are usually considered: $χ^2$-, inverse $χ^2$- and log-normal-distributions. While the first class, already considered by two of the authors, leads to a power-law decay of …
We consider ensembles of Gaussian (Hermite) and Wishart (Laguerre) $N\times N$ hermitian matrices. We study the effect of finite rank perturbations of these ensembles by a source term. The rank $r$ of the perturbation corresponds to the number of non-null eigenvalues of the source matrix. In the perturbed ensembles, the correlation functions can be written in terms of kernels. We show that for all $N$, the difference between the perturbed and the unperturbed kernels is a degenerate kernel of size $r$ which depends on multiple Hermite or Laguerre functions. We also compute asymptotic formulas f…
We consider rectangular random matrices of size $p\times n$ belonging to the real Wishart-Laguerre ensemble also known as the chiral Gaussian orthogonal ensemble. This ensemble appears in many applications like QCD, mesoscopic physics, and time series analysis. We are particularly interested in the distribution of the smallest non-zero eigenvalue and the gap probability to find no eigenvalue in an interval $[0,t]$. While for odd topology $ν=n-p$ explicit closed results are known for finite and infinite matrix size, for even $ν>2$ only recursive expressions in $p$ are available.The smallest eig…
The largest eigenvalue distribution of the Wishart-Laguerre ensemble, indexed by Dyson parameter $β$ and Laguerre parameter $a$, is fundamental in multivariate statistics and finds applications in diverse areas. Based on a generalization of the Selberg integral, we provide an effective recursion scheme to compute this distribution explicitly in both the original model, and a fixed-trace variant, for $a,β$ non-negative integers and finite matrix size. For $β= 2$ this circumvents known symbolic evaluation based on determinants which become impractical for large dimensions. Our exact results have…
We briefly review the solution of three ensembles of non-Hermitian random matrices generalizing the Wishart-Laguerre (also called chiral) ensembles. These generalizations are realized as Gaussian two-matrix models, where the complex eigenvalues of the product of the two independent rectangular matrices are sought, with the matrix elements of both matrices being either real, complex or quaternion real. We also present the more general case depending on a non-Hermiticity parameter, that allows us to interpolate between the corresponding three Hermitian Wishart ensembles with real eigenvalues and…
This paper constructs tridiagonal random matrix models for general ($β>0$) $β$-Hermite (Gaussian) and $β$-Laguerre (Wishart) ensembles. These generalize the well-known Gaussian and Wishart models for $β= 1,2,4$. Furthermore, in the cases of the $β$-Laguerre ensembles, we eliminate the exponent quantization present in the previously known models. We further discuss applications for the new matrix models, and present some open problems.
We study the probability distribution function (PDF) of the smallest eigenvalue of Laguerre-Wishart matrices $W = X^\dagger X$ where $X$ is a random $M \times N$ ($M \geq N$) matrix, with complex Gaussian independent entries. We compute this PDF in terms of semi-classical orthogonal polynomials, which are deformations of Laguerre polynomials. By analyzing these polynomials, and their associated recurrence relations, in the limit of large $N$, large $M$ with $M/N \to 1$ -- i.e. for quasi-square large matrices $X$ -- we show that this PDF, in the hard edge limit, can be expressed in terms of the…
We compute analytically the probability of large fluctuations to the left of the mean of the largest eigenvalue in the Wishart (Laguerre) ensemble of positive definite random matrices. We show that the probability that all the eigenvalues of a (N x N) Wishart matrix W=X^T X (where X is a rectangular M x N matrix with independent Gaussian entries) are smaller than the mean value <λ>=N/c decreases for large N as $\sim \exp[-\fracβ{2}N^2 Φ_{-}(\frac{2}{\sqrt{c}}+1;c)]$, where β=1,2 correspond respectively to real and complex Wishart matrices, c=N/M < 1 and Φ_{-}(x;c) is a large deviation function…
Consider the product of $M$ quadratic random matrices with complex elements and no further symmetry, where all matrix elements of each factor have a Gaussian distribution. This generalises the classical Wishart-Laguerre Gaussian Unitary Ensemble with M=1. In this paper we first compute the joint probability distribution for the singular values of the product matrix when the matrix size $N$ and the number $M$ are fixed but arbitrary. This leads to a determinantal point process which can be realised in two different ways. First, it can be written as a one-matrix singular value model with a non-s…
We apply the method of skew-orthogonal polynomials (SOP) in the complex plane to asymmetric random matrices with real elements, belonging to two different classes. Explicit integral representations valid for arbitrary weight functions are derived for the SOP and for their Cauchy transforms, given as expectation values of traces and determinants or their inverses, respectively. Our proof uses the fact that the joint probability distribution function for all combinations of real eigenvalues and complex conjugate eigenvalue pairs can be written as a product. Examples for the SOP are given in term…
We define a q-deformation of the Dirac operator, inspired by the one dimensional q-derivative. This implies a q-deformation of the partial derivatives. By taking the square of this Dirac operator we find a q-deformation of the Laplace operator. This allows to construct q-deformed Schroedinger equations in higher dimensions. The equivalence of these Schroedinger equations with those defined on q-Euclidean space in quantum variables is shown. We also define the m-dimensional q-Clifford-Hermite polynomials and show their connection with the q-Laguerre polynomials. These polynomials are orthogonal…
A $θ$-deformation of the Laguerre weighted Cauchy two-matrix model, and the Bures ensemble, is introduced. Such a deformation is familiar from the Muttalib-Borodin ensemble. The $θ$-deformed Cauchy-Laguerre two-matrix model is a two-component determinantal point process. It is shown that the correlation kernel, and its hard edge scaled limit, can be written as the Fox H-functions, generalising the Meijer G-function class known from the study of the case $θ= 1$. In the $θ=1$ case, it is shown Laguerre-Bures ensemble is related to the Laguerre-Cauchy two-matrix model, notwithstanding the Bures e…
We derive exact results for gap probabilities, as well as densities of extreme eigenvalues for six complex random matrix ensembles of fundamental importance. These are Gauss-Wigner, Laguerre-Wishart, Cauchy-Lorentz (two variants), Jacobi-MANOVA and Bures-Hall (trace unrestricted). We deal with both correlated and uncorrelated cases. Extensive Monte-Carlo simulations based on explicit matrix models or Dyson's log-gas formalism have also been performed, which corroborate all analytical results.
We start from applying the general idea of spectral projection (suggested by Olshanski and Borodin and advocated by Tao) to the complex Wishart model. Combining the ideas of spectral projection with the insights from quantum mechanics we derive in an effortless way all spectral properties of the complex Wishart model: first, the Marcenko-Pastur distribution interpreted as a Bohr-Sommerfeld quantization condition for the hydrogen atom; second, hard (Bessel), soft (Airy) and bulk (sine) microscopic kernels from properly rescaled radial Schrödinger equation for the hydrogen atom. Then, generalizi…
The distribution function for the first eigenvalue spacing in the Laguerre unitary ensemble of finite size may be expressed in terms of a solution of the fifth Painleve transcendent. The generating function of a certain discontinuous linear statistic of the Laguerre unitary ensemble can similarly be expressed in terms of a solution of the fifth Painleve equation. The methodology used to derive these results rely on two theories regarding differential equations for orthogonal polynomial systems, one involving isomonodromic deformations and the other ladder operators. We compare the two theories…
The Bures metric and the associated Bures-Hall measure is arguably the best choice for studying the spectrum of the quantum mechanical density matrix with no apriori knowledge of the system. We investigate the probability of a gap in the spectrum of this model, either at the bottom $ [0,s) $ or at the top $ (s,1] $, utilising the connection of this Pfaffian point-process with the allied problem in the determinantal point-process of the two-dimensional Cauchy-Laguerre bi-orthogonal polynomial system, now deformed with two variables $s,t$. To this end we develop new general results about Cauchy …
We consider Hermite and Laguerre $β$-ensembles of large $N\times N$ random matrices. For all $β$ even, corrections to the limiting global density are obtained, and the limiting density at the soft edge is evaluated. We use the saddle point method on multidimensional integral representations of the density which are based on special realizations of the generalized (multivariate) classical orthogonal polynomials. The corrections to the bulk density are oscillatory terms that depends on $β$. At the edges, the density can be expressed as a multiple integral of the Konstevich type which constitutes…
The distribution function for the first eigenvalue spacing in the Laguerre unitary ensemble of finite rank random matrices is found in terms of a Painlevé V system, and the solution of its associated linear isomonodromic system. In particular it is characterised by the polynomial solutions to the isomonodromic equations which are also orthogonal with respect to a deformation of the Laguerre weight. In the scaling to the hard edge regime we find an analogous situation where a certain Painlevé \IIId system and its associated linear isomonodromic system characterise the scaled distribution. We un…
Let $\mathbf{W}_1$ and $\mathbf{W}_2$ be independent $n\times n$ complex central Wishart matrices with $m_1$ and $m_2$ degrees of freedom respectively. This paper is concerned with the extreme eigenvalue distributions of double-Wishart matrices $(\mathbf{W}_1+\mathbf{W}_2)^{-1}\mathbf{W}_1$, which are analogous to those of F matrices ${\bf W}_1 {\bf W}_2^{-1}$ and those of the Jacobi unitary ensemble (JUE). Defining $α_1=m_1-n$ and $α_2=m_2-n$, we derive new exact distribution formulas in terms of $(α_1+α_2)$-dimensional matrix determinants, with elements involving derivatives of Legendre poly…
Correlation matrices are a standard tool in the analysis of the time evolution of complex systems in general and financial markets in particular. Yet most analysis assume stationarity of the underlying time series. This tends to be an assumption of varying and often dubious validity. The validity of the assumption improves as shorter time series are used. If many time series are used this implies an analysis of highly singular correlation matrices. We attack this problem by using the so called {\it power map} which was introduced to reduce noise. Its non-linearity breaks the degeneracy of the …
We consider the complex eigenvalues of a Wishart type random matrix model $X=X_1 X_2^*$, where two rectangular complex Ginibre matrices $X_{1,2}$ of size $N\times (N+ν)$ are correlated through a non-Hermiticity parameter $τ\in[0,1]$. For general $ν=O(N)$ and $τ$ we obtain the global limiting density and its support, given by a shifted ellipse. It provides a non-Hermitian generalisation of the Marchenko-Pastur distribution, which is recovered at maximal correlation $X_1=X_2$ when $τ=1$. The square root of the complex Wishart eigenvalues, corresponding to the non-zero complex eigenvalues of the …
By applying an idea of Borodin and Olshanski [J. Algebra 313 (2007), 40-60], we study various scaling limits of determinantal point processes with trace class projection kernels given by spectral projections of selfadjoint Sturm-Liouville operators. Instead of studying the convergence of the kernels as functions, the method directly addresses the strong convergence of the induced integral operators. We show that, for this notion of convergence, the Dyson, Airy, and Bessel kernels are universal in the bulk, soft-edge, and hard-edge scaling limits. This result allows us to give a short and unifi…
We consider the singular value statistics of products of independent random matrices. In particular we compute the corresponding averages of products of characteristic polynomials. To this aim we apply the projection formula recently introduced for chiral random matrix ensembles which serves as a short cut of the supersymmetry method. The projection formula enables us to study the local statistics where free probability currently fails. To illustrate the projection formula and underlining the power of our approach we calculate the hard edge scaling limit of the Meijer G-ensembles comprising th…
We discuss the product of $M$ rectangular random matrices with independent Gaussian entries, which have several applications including wireless telecommunication and econophysics. For complex matrices an explicit expression for the joint probability density function is obtained using the Harish-Chandra--Itzykson--Zuber integration formula. Explicit expressions for all correlation functions and moments for finite matrix sizes are obtained using a two-matrix model and the method of bi-orthogonal polynomials. This generalises the classical result for the so-called Wishart--Laguerre Gaussian unita…
We study the eigenvalue correlations of random Hermitian $n\times n$ matrices of the form $S=M+εH$, where $H$ is a GUE matrix, $ε>0$, and $M$ is a positive-definite Hermitian random matrix, independent of $H$, whose eigenvalue density is a polynomial ensemble. We show that there is a soft-to-hard edge transition in the microscopic behaviour of the eigenvalues of $S$ close to $0$ if $ε$ tends to $0$ together with $n\to +\infty$ at a critical speed, depending on the random matrix $M$. In a double scaling limit, we obtain a new family of limiting eigenvalue correlation kernels. We apply our gener…
Recently subclasses of polynomial ensembles for additive and multiplicative matrix convolutions were identified which were called Pólya ensembles (or polynomial ensembles of derivative type). Those ensembles are closed under the respective convolutions and, thus, build a semi-group when adding by hand a unit element. They even have a semi-group action on the polynomial ensembles. Moreover in several works transformations of the bi-orthogonal functions and kernels of a given polynomial ensemble were derived when performing an additive or multiplicative matrix convolution with particular Pólya e…
We consider a family of chiral non-Hermitian Gaussian random matrices in the unitarily invariant symmetry class. The eigenvalue distribution in this model is expressed in terms of Laguerre polynomials in the complex plane. These are orthogonal with respect to a non-Gaussian weight including a modified Bessel function of the second kind, and we give an elementary proof for this. In the large $n$ limit, the eigenvalue statistics at the spectral edge close to the real axis are described by the same family of kernels interpolating between Airy and Poisson that was recently found by one of the auth…
The top eigenvalues of rank $r$ spiked real Wishart matrices and additively perturbed Gaussian orthogonal ensembles are known to exhibit a phase transition in the large size limit. We show that they have limiting distributions for near-critical perturbations, fully resolving the conjecture of Baik, Ben Arous and Péché [Duke Math. J. (2006) 133 205-235]. The starting point is a new $(2r+1)$-diagonal form that is algebraically natural to the problem; for both models it converges to a certain random Schrödinger operator on the half-line with $r\times r$ matrix-valued potential. The perturbation d…
