21,584 research outputs found
Time-frequency transforms of white noises and Gaussian analytic functions
A family of Gaussian analytic functions (GAFs) has recently been linked to
the Gabor transform of white Gaussian noise [Bardenet et al., 2017]. This
answered pioneering work by Flandrin [2015], who observed that the zeros of the
Gabor transform of white noise had a very regular distribution and proposed
filtering algorithms based on the zeros of a spectrogram. The mathematical link
with GAFs provides a wealth of probabilistic results to inform the design of
such signal processing procedures. In this paper, we study in a systematic way
the link between GAFs and a class of time-frequency transforms of Gaussian
white noises on Hilbert spaces of signals. Our main observation is a conceptual
correspondence between pairs (transform, GAF) and generating functions for
classical orthogonal polynomials. This correspondence covers some classical
time-frequency transforms, such as the Gabor transform and the Daubechies-Paul
analytic wavelet transform. It also unveils new windowed discrete Fourier
transforms, which map white noises to fundamental GAFs. All these transforms
may thus be of interest to the research program `filtering with zeros'. We also
identify the GAF whose zeros are the extrema of the Gabor transform of the
white noise and derive their first intensity. Moreover, we discuss important
subtleties in defining a white noise and its transform on infinite dimensional
Hilbert spaces. Finally, we provide quantitative estimates concerning the
finite-dimensional approximations of these white noises, which is of practical
interest when it comes to implementing signal processing algorithms based on
GAFs.Comment: to appear in Applied and Computational Harmonic Analysi
Orthogonal polynomial ensembles in probability theory
We survey a number of models from physics, statistical mechanics, probability
theory and combinatorics, which are each described in terms of an orthogonal
polynomial ensemble. The most prominent example is apparently the Hermite
ensemble, the eigenvalue distribution of the Gaussian Unitary Ensemble (GUE),
and other well-known ensembles known in random matrix theory like the Laguerre
ensemble for the spectrum of Wishart matrices. In recent years, a number of
further interesting models were found to lead to orthogonal polynomial
ensembles, among which the corner growth model, directed last passage
percolation, the PNG droplet, non-colliding random processes, the length of the
longest increasing subsequence of a random permutation, and others. Much
attention has been paid to universal classes of asymptotic behaviors of these
models in the limit of large particle numbers, in particular the spacings
between the particles and the fluctuation behavior of the largest particle.
Computer simulations suggest that the connections go even farther and also
comprise the zeros of the Riemann zeta function. The existing proofs require a
substantial technical machinery and heavy tools from various parts of
mathematics, in particular complex analysis, combinatorics and variational
analysis. Particularly in the last decade, a number of fine results have been
achieved, but it is obvious that a comprehensive and thorough understanding of
the matter is still lacking. Hence, it seems an appropriate time to provide a
surveying text on this research area.Comment: Published at http://dx.doi.org/10.1214/154957805100000177 in the
Probability Surveys (http://www.i-journals.org/ps/) by the Institute of
Mathematical Statistics (http://www.imstat.org
On Poincare and logarithmic Sobolev inequalities for a class of singular Gibbs measures
This note, mostly expository, is devoted to Poincar{\'e} and log-Sobolev
inequalities for a class of Boltzmann-Gibbs measures with singular interaction.
Such measures allow to model one-dimensional particles with confinement and
singular pair interaction. The functional inequalities come from convexity. We
prove and characterize optimality in the case of quadratic confinement via a
factorization of the measure. This optimality phenomenon holds for all beta
Hermite ensembles including the Gaussian unitary ensemble, a famous exactly
solvable model of random matrix theory. We further explore exact solvability by
reviewing the relation to Dyson-Ornstein-Uhlenbeck diffusion dynamics admitting
the Hermite-Lassalle orthogonal polynomials as a complete set of
eigenfunctions. We also discuss the consequence of the log-Sobolev inequality
in terms of concentration of measure for Lipschitz functions such as maxima and
linear statistics.Comment: Minor improvements. To appear in Geometric Aspects of Functional
Analysis -- Israel Seminar (GAFA) 2017-2019", Lecture Notes in Mathematics
225
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