On the largest-eigenvalue process for generalized Wishart random matrices
نویسندگان
چکیده
Using a change-of-measure argument, we prove an equality in law between the process of largest eigenvalues in a generalized Wishart random-matrix process and a last-passage percolation process. This equality in law was conjectured by Borodin and Péché (2008).
منابع مشابه
Distribution of the largest eigenvalue for real Wishart and Gaussian random matrices and a simple approximation for the Tracy-Widom distribution
We derive efficient recursive formulas giving the exact distribution of the largest eigenvalue for finite dimensional real Wishart matrices and for the Gaussian Orthogonal Ensemble (GOE). In comparing the exact distribution with the limiting distribution of large random matrices, we also found that the Tracy-Widom law can be approximated by a properly scaled and shifted gamma distribution, with...
متن کاملMeasuring maximal eigenvalue distribution of Wishart random matrices with coupled lasers.
We determined the probability distribution of the combined output power from 25 coupled fiber lasers and show that it agrees well with the Tracy-Widom and Majumdar-Vergassola distributions of the largest eigenvalue of Wishart random matrices with no fitting parameters. This was achieved with 500,000 measurements of the combined output power from the fiber lasers, that continuously changes with ...
متن کاملAsymptotics of random density matrices
We investigate random density matrices obtained by partial tracing larger random pure states. We show that there is a strong connection between these random density matrices and the Wishart ensemble of random matrix theory. We provide asymptotic results on the behavior of the eigenvalues of random density matrices, including convergence of the empirical spectral measure. We also study the large...
متن کاملA mathematically simple method based on denition for computing eigenvalues, generalized eigenvalues and quadratic eigenvalues of matrices
In this paper, a fundamentally new method, based on the denition, is introduced for numerical computation of eigenvalues, generalized eigenvalues and quadratic eigenvalues of matrices. Some examples are provided to show the accuracy and reliability of the proposed method. It is shown that the proposed method gives other sequences than that of existing methods but they still are convergent to th...
متن کاملAnalytic approximation to the largest eigenvalue distribution of a white Wishart matrix
Eigenvalue distributions of Wishart matrices are given in the literature as functions or distributions defined in terms of matrix arguments requiring numerical evaluation. As a result the relationship between parameter values and statistics is not available analytically and the complexity of the numerical evaluation involved may limit the implementation, evaluation and use of eigenvalue techniq...
متن کامل