We consider properties of determinants of some random symmetric matrices issued from multivariate statistics: Wishart/Laguerre ensemble (sample covariance matrices), Uniform Gram ensemble (sample correlation matrices) and Jacobi ensemble (MANOVA). If $n$ is the size of the sample, $r\leq n$ the number of variates and $X_{n,r}$ such a matrix, a generalization of the Bartlett-type theorems gives a decomposition of $\det X_{n,r}$ into a product of $r$ independent gamma or beta random variables. For $n$ fixed, we study the evolution as $r$ grows, and then take the limit of large $r$ and $n$ with $r/n = t \leq 1$. We derive limit theorems for the sequence of {\it processes with independent increments} $\{n^{-1} \log \det X_{n, \lfloor nt\rfloor}, t \in [0, T]\}_n$ for $T \leq 1$.. Since the logarithm of the determinant is a linear statistic of the empirical spectral distribution, we connect the results for marginals (fixed $t$) with those obtained by the spectral method. Actually, all the results hold true for $β$ models, if we define the determinant as the product of charges.
Let $λ$ and $μ$ be beta-Jacobi and beta-Laguerre ensembles with joint density function $f_{β, m, a_1, a_2}$ and $f_{β, m, a_1}$, respectively. Here $β>0$ and $a_1, a_2$ and $m$ satisfying . $a_1, a_2>\fracβ{2}(m-1).$ In this paper, we consider the distance between $2(a_1+a_2)λ$ and $μ$ in terms of total variation distance and Kullback-Leibler distance. Following the idea in \cite{JM2017}, we are able to prove that both the two distances go to zero once $a_1m=o(a_2)$ and not so if $\lim_{a_2\to\infty}a_1m/a_2=σ>0.$
We define Laguerre and Jacobi analogues of the Warren process. That is, we construct local dynamics on a triangular array of particles so that the projections to each level recover the Laguerre and Jacobi eigenvalue processes of König-O'Connell and Doumerc and the fixed time distributions recover the joint distribution of eigenvalues in multilevel Laguerre and Jacobi random matrix ensembles. Our techniques extend and generalize the framework of intertwining diffusions developed by Pal-Shkolnikov. One consequence is the construction of particle systems with local interactions whose fixed time d…
Multivariate versions of classical orthogonal polynomials such as Jacobi, Hahn, Laguerre and Meixner are reviewed and their connection explored by adopting a probabilistic approach. Hahn and Meixner polynomials are interpreted as posterior mixtures of Jacobi and Laguerre polynomials, respectively. By using known properties of gamma point processes and related transformations, a new infinite-dimensional version of Jacobi polynomials is constructed with respect to the size-biased version of the Poisson--Dirichlet weight measure and to the law of the gamma point process from which it is derived.
We continue to explore the connections between large deviations for objects coming from random matrix theory and sum rules. This connection was established in [17] for spectral measures of classical ensembles (Gauss-Hermite, Laguerre, Jacobi) and it was extended to spectral matrix measures of the Hermite and Laguerre ensemble in [20]. In this paper, we consider the remaining case of spectral matrix measures of the Jacobi ensemble. Our main results are a large deviation principle for such measures and a sum rule for matrix measures with reference measure the Kesten-McKay law. As an important in…
Under the Kolmogorov--Smirnov metric, an upper bound on the rate of convergence to the Gaussian distribution is obtained for linear statistics of the matrix ensembles in the case of the Gaussian, Laguerre, and Jacobi weights. The main lemma gives an estimate for the characteristic functions of the linear statistics; this estimate is uniform over the growing interval. The proof of the lemma relies on the Riemann--Hilbert approach.
We show that for $β\ge 1$ the semigroups of $β$-Laguerre and $β$-Jacobi processes of different dimensions are intertwined in analogy to a similar result for $β$-Dyson Brownian motion recently obtained by Ramanan and Shkolnikov. These intertwining relations generalize to arbitrary $β\ge 1$ the ones obtained for $β=2$ by the author, O'Connell and Warren between $h$-transformed Karlin-McGregor semigroups. Moreover they form the key step towards constructing a multilevel process in a Gelfand-Tsetlin pattern leaving certain Gibbs measures invariant. Finally as a by product we obtain a relation betw…
Beta ensembles on the real line with three classical weights (Gaussian, Laguerre and Jacobi) are now realized as the eigenvalues of certain tridiagonal random matrices. The paper deals with beta Jacobi ensembles, the type with the Jacobi weight. Making use of the random matrix model, we show that in the regime where $βN \to const \in [0, \infty)$, with $N$ the system size, the empirical distribution of the eigenvalues converges weakly to a limiting measure which belongs to a new class of probability measures of associated Jacobi polynomials. This is analogous to the existing results for the ot…
The spectral measures of random Jacobi matrices related to beta ensembles at high temperature and Dirichlet processes
Mathematical Institute, Tohoku University（东北大学数学研究所）；Faculty of Mathematics Mechanics Informatics, University of Science, Vietnam National University（越南国立大学科学大学数学力学信息学院）；Global Center for Science and Engineering, Waseda University（早稻田大学全球科学与工程中心）
Bourgade, Nikeghbali and Rouault recently proposed a matrix model for the circular Jacobi $β$-ensemble, which is a generalization of the Dyson circular $β$-ensemble but equipped with an additional parameter $b$, and further studied its limiting spectral measure. We calculate the scaling limits for expected products of characteristic polynomials of circular Jacobi $β$-ensembles. For the fixed constant $b$, the resulting limit near the spectrum singularity is proven to be a new multivariate function. When $b=βNd/2$, the scaling limits in the bulk and at the soft edge agree with those of the Herm…
Muttalib--Borodin ensembles are characterised by the pair interaction term in the eigenvalue probability density function being of the form $\prod_{1 \le j < k \le N}(λ_k - λ_j) (λ_k^θ- λ_j^θ)$. We study the Laguerre and Jacobi versions of this model --- so named by the form of the one-body interaction terms --- and show that for $θ\in \mathbb Z^+$ they can be realised as the eigenvalue PDF of certain random matrices with Gaussian entries. For general $θ> 0$, realisations in terms of the eigenvalue PDF of ensembles involving triangular matrices are given. In the Laguerre case this is a recent …
We pursue two goals in this article. As our first goal, we construct a family $\mathcal{M}_G$ of Gibbs like measures on the set of piecewise linear convex functions $g:\mathbb{R}^2\to\mathbb{R}$. It turns out that there is a one-to-one correspondence between the gradient of such convex functions and $\textit{Laguerre tessellations}$. Each cell in a Laguerre tessellation is a convex polygon that is marked by a vector $ρ\in\mathbb{R}^2$. Each measure $ν^f\in\mathcal{M}_G$ in our family is uniquely characterized by a kernel $f(x,ρ^-,ρ^+)$, which represents the rate at which a line separating two …
$N$-dimensional Bessel and Jacobi processes describe interacting particle systems with $N$ particles and are related to $β$-Hermite, $β$-Laguerre, and $β$-Jacobi ensembles. For fixed $N$ there exist associated weak limit theorems (WLTs) in the freezing regime $β\to\infty$ in the $β$-Hermite and $β$-Laguerre case by Dumitriu and Edelman (2005) with explicit formulas for the covariance matrices $Σ_N$ in terms of the zeros of associated orthogonal polynomials. Recently, the authors derived these WLTs in a different way and computed $Σ_N^{-1}$ with formulas for the eigenvalues and eigenvectors of …
In this paper we prove that, after an appropriate rescaling, the sum of moments $\mathbb{E}_{N}^{(s)} \left( Tr \left( |\mathbf{H}|^{2k+2}+|\mathbf{H}|^{2k}\right) \right)$ of an $N\times N$ Hermitian matrix $\mathbf{H}$ sampled according to the generalized Cauchy (also known as Hua-Pickrell) ensemble with parameter $s>0$ is a continuous-Hahn polynomial in the variable $k$. This completes the picture of the investigation that began by Cunden, Mezzadri, O'Connell and Simm who obtained analogous results for the other three classical ensembles of random matrices, the Gaussian, the Laguerre and Ja…
Consider Jacobi random matrix ensembles with the distributions $$c_{k_1,k_2,k_3}\prod_{1\leq i< j \leq N}\left(x_j-x_i\right)^{k_3}\prod_{i=1}^N \left(1-x_i\right)^{\frac{k_1+k_2}{2}-\frac{1}{2}}\left(1+x_i\right)^{\frac{k_2}{2}-\frac{1}{2}} dx$$ of the eigenvalues on the alcoves $$A:=\{x\in\mathbb R^N| \> -1\leq x_1\le ...\le x_N\leq 1\}.$$ For $(k_1,k_2,k_3)=κ\cdot (a,b,1)$ with $a,b>0$ fixed, we derive a central limit theorem for the distributions above for $κ\to\infty$. The drift and the inverse of the limit covariance matrix are expressed in terms of the zeros of classical Jacobi polynomi…
We study sampling algorithms for $β$-ensembles with time complexity less than cubic in the cardinality of the ensemble. Following Dumitriu & Edelman (2002), we see the ensemble as the eigenvalues of a random tridiagonal matrix, namely a random Jacobi matrix. First, we provide a unifying and elementary treatment of the tridiagonal models associated to the three classical Hermite, Laguerre and Jacobi ensembles. For this purpose, we use simple changes of variables between successive reparametrizations of the coefficients defining the tridiagonal matrix. Second, we derive an approximate sampler fo…
