Wishart random matrices are often used to model multivariate systems in physics, finance, biology and wireless communication. Extreme value statistics, such as those of the smallest eigenvalue, can be used to test the accuracy of the model. In this article we study the gap formation probability (cumulative distribution function of the smallest eigenvalue) for real and quaternion $N\times \left(N+ν\right)$ Wishart random matrices in the large $N$ limit. We derive compact expression in terms of determinants of known functions. As a consequence of this representation, the gap formation probabilities solve the Toda lattice equation, in the index $ν$ for $ν$ even and for $ν$ odd separately.
We show that quaternionic Gaussian random variables satisfy a generalization of the Wick formula for computing the expected value of products in terms of a family of graphical enumeration problems. When applied to the quaternionic Wigner and Wishart families of random matrices the result gives the duality between moments of these families and the corresponding real Wigner and Wishart families.
A Wishart matrix is said to be spiked when the underlying covariance matrix has a single eigenvalue $b$ different from unity. As $b$ increases through $b=2$, a gap forms from the largest eigenvalue to the rest of the spectrum, and with $b-2$ of order $N^{-1/3}$ the scaled largest eigenvalues form a well defined parameter dependent state. Recent works by Bloemendal and Virág [BV], and Mo, have quantified this parameter dependent state for real Wishart matrices from different viewpoints, and the former authors have done similarly for the spiked Wishart $β$-ensemble. The latter is defined in term…
The correlated Wishart model provides a standard tool for the analysis of correlations in a rich variety of systems. Although much is known for complex correlation matrices, the empirically much more important real case still poses substantial challenges. We put forward a new approach, which maps arbitrary statistical quantities, depending on invariants only, to invariant Hermitian matrix models. For completeness we also include the quaternion case and deal with all three cases in a unified way. As an important application, we study the statistics of the largest eigenvalue and its limiting dis…
In one dimensional transport problems the scattering matrix $S$ is decomposed into a block structure corresponding to reflection and transmission matrices at the two ends. For $S$ a random unitary matrix, the singular value probability distribution function of these blocks is calculated. The same is done when $S$ is constrained to be symmetric, or to be self dual quaternion real, or when $S$ has real elements, or has real quaternion elements. Three methods are used: metric forms; a variant of the Ingham-Seigel matrix integral; and a theorem specifying the Jacobi random matrix ensemble in terms…
We discuss an application of the random matrix theory in the context of estimating the bipartite entanglement of a quantum system. We discuss how the Wishart ensemble (the earliest studied random matrix ensemble) appears in this quantum problem. The eigenvalues of the reduced density matrix of one of the subsystems have similar statistical properties as those of the Wishart matrices, except that their {\em trace is constrained to be unity}. We focus here on the smallest eigenvalue which serves as an important measure of entanglement between the two subsystems. In the hard edge case (when the t…
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…
The product of M complex random Gaussian matrices of size N has recently been studied by Akemann, Kieburg and Wei. They showed that, for fixed M and N, the joint probability distribution for the squared singular values of the product matrix forms a determinantal point process with a correlation kernel determined by certain biorthogonal polynomials that can be explicitly constructed. We find that, in the case M=2, the relevant biorthogonal polynomials are actually special cases of multiple orthogonal polynomials associated with Macdonald functions (modified Bessel functions of the second kind) …
This paper shows how to write Maxwell's Equations in Hamilton's Quaternions. The fact that the quaternion product is non-commuting leads to distinct left and right derivatives which must both be included in the theory. A new field component is then revealed, which reduces part of the degree of freedom found in the gauge, but which can then be used to explain thermoelectricity, suggesting that the theory of heat has just as fundamental a connection to electromagnetism as the magnetic field has to the electric field, for the new theory now links thermal, electric, and magnetic phenomena altogeth…
We present an explicit formula for the expected value of a product of several independent symplectically invariant matrices in which the trace and real part function may be applied, possibly to different subexpressions. This takes the form of a topological expansion; however, each term has two topologies: one for the trace, and another for the real part. The traces and real parts can always be written in terms of index contraction, but in some cases, it is possible to write the expression as a product in which the two functions are applied to bracketed intervals in a legal bracket diagram. We …
Pauli matrices are 2x2 tracefree matrices with a real diagonal and complex (complex-conjugate) off-diagonal entries. They generate the Clifford algebra Cl(3). They can be generalised by replacing the off-diagonal complex number by one taking values in either quaternions or octonions (or their split versions). These quaternionic and octonionic generalisations generate well-known models of Cl(5) and Cl(9) respectively. The main aim of the paper is to explicitly relate these models to the models arising via the creation/annihilation operator construction. We describe in details the models related…
Recently Johansson and Johnstone proved that the distribution of the (properly rescaled) largest principal component of the complex (real) Wishart matrix $ X^* \* X (X^t \*X) $ converges to the Tracy-Widom law as $ n, p $ (the dimensions of $ X $) tend to $ \infty $ in some ratio $ n/p \to γ>0. $ We extend these results in two directions. First of all, we prove that the joint distribution of the first, second, third, etc. eigenvalues of a Wishart matrix converges (after a proper rescaling) to the Tracy-Widom distribution. Second of all, we explain how the combinatorial machinery developed for …
We study the induced spherical ensemble of non-Hermitian matrices with real quaternion entries (considering each quaternion as a $2\times 2$ complex matrix). We define the ensemble by the matrix probability distribution function that is proportional to $$\frac{\det (\mathbf{G} \mathbf{G}^{\dagger})^{2 L}} {\det(1_N+ \mathbf{G} \mathbf{G}^{\dagger})^{2(n+N+L)}}.$$ These matrices can also be constructed via a procedure called `inducing', using a product of a Wishart matrix (with parameters $n,N$) and a rectangular Ginibre matrix of size $(N+L)\times N$. The inducing procedure imposes a repulsion…
The aim of this note is to provide a pedagogical survey of the recent works by the authors ( arXiv:1409.7548 and arXiv:1507.06013) concerning the local behavior of the eigenvalues of large complex correlated Wishart matrices at the edges and cusp points of the spectrum: Under quite general conditions, the eigenvalues fluctuations at a soft edge of the limiting spectrum, at the hard edge when it is present, or at a cusp point, are respectively described by mean of the Airy kernel, the Bessel kernel, or the Pearcey kernel. Moreover, the eigenvalues fluctuations at several soft edges are asymptot…
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 address the question of how the celebrated universality of local correlations for the real eigenvalues of Hermitian random matrices of size NxN can be extended to complex eigenvalues in the case of random matrices without symmetry. Depending on the location in the spectrum, particular large-N limits (the so-called weakly non-Hermitian limits) lead to one-parameter deformations of the Airy, sine and Bessel kernels into the complex plane. This makes their universality highly suggestive for all symmetry classes. We compare all the known limiting real kernels and their deformations into the com…
This note presents explicit formulae for the exponentials of a wide variety of matrices which are 4x4, anti-Hermitian. Easily verifiable conditions characterizing when such matrices admit one of three minimal polynomials are also given. Essential use of the algebra isomorphism between real 4x4 matrices and the tensor product of the quaternions with themseleves is made. Illustrations from important applications are given.
The explicit matrix realizations of the reversion anti-automorphism and the spin group depend on the set of matrices chosen to represent a basis of 1 -vectors for a given Clifford algebra. On the other hand, there are iterative procedures to obtain bases of 1-vectors for higher dimensional Clifford algebras, starting from those for lower dimensional ones. For a basis of 1-vectors for Cl (0, 5), obtained by applying such procedures to the Pauli basis of 1-vectors for Cl(3,0), we find that the matrix form of reversion involves neither of the two standard representations of the symplectic bilinea…
Quantum counterparts of certain simple classical systems can exhibit chaotic behaviour through the statistics of their energy levels and the irregular spectra of chaotic systems are modelled by eigenvalues of infinite random matrices. We use known bounds on the distribution function for eigenvalue spacings for the Gaussian orthogonal ensemble (GOE) of infinite random real symmetric matrices and show that gamma distributions, which have an important uniqueness property, can yield an approximation to the GOE distribution. That has the advantage that then both chaotic and non chaotic cases fit in…
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…
Identifying the spectrum of the sum of two given Hermitian matrices with fixed eigenvalues is the famous Horn's problem.In this note, we investigate a variant of Horn's problem, i.e., we identify the probability density function (abbr. pdf) of the diagonals of the sum of two random Hermitian matrices with given spectra. We then use it to re-derive the pdf of the eigenvalues of the sum of two random Hermitian matrices with given eigenvalues via \emph{derivative principle}, a powerful tool used to get the exact probability distribution by reducing to the corresponding distribution of diagonal en…
