Some asymptotic properties of the spectrum of the Jacobi ensemble

For the random eigenvalues with density corresponding to the Jacobi ensemble $$c \cdot \prod_{i < j} | \lambda_i - \lambda_j |^\beta \prod^n_{i=1} (2 - \lambda_i)^a (2 + \lambda_i)^b I_{(-2,2)} (\lambda_i)$$ $(a, b > -1, \beta > 0)$ a strong uniform approximation by the roots of the Jacobi polynomials is derived if the parameters $a, b,$ $\beta$ depend on $n$ and $n \to \infty$. Roughly speaking, the eigenvalues can be uniformly approximated by roots of Jacobi polynomials with parameters $((2a+2)/\beta -1, (2b+2)/\beta-1)$, where the error is of order $\{\log n/(a+b) \}^{1/4}$. These results are used to investigate the asymptotic properties of the corresponding spectral distribution if $n \to \infty$ and the parameters $a, b$ and $\beta$ vary with $n$. We also discuss further applications in the context of multivariate random $F$-matrices.Comment: 20 pages, 2 figure

Product of random projections, Jacobi ensembles and universality problems arising from free probability

We consider the product of two independent randomly rotated projectors. The square of its radial part turns out to be distributed as a Jacobi ensemble. We study its global and local properties in the large dimension scaling relevant to free probability theory. We establish asymptotics for one point and two point correlation functions, as well as properties of largest and smallest eigenvalues.Comment: 28 pages, no figure, pdfLaTe

Biorthogonal ensembles

One object of interest in random matrix theory is a family of point ensembles (random point configurations) related to various systems of classical orthogonal polynomials. The paper deals with a one--parametric deformation of these ensembles, which is defined in terms of the biorthogonal polynomials of Jacobi, Laguerre and Hermite type. Our main result is a series of explicit expressions for the correlation functions in the scaling limit (as the number of points goes to infinity). As in the classical case, the correlation functions have determinantal form. They are given by certain new kernels which are described in terms of the Wright's generalized Bessel function and can be viewed as a generalization of the well--known sine and Bessel kernels. In contrast to the conventional kernels, the new kernels are non--symmetric. However, they possess other, rather surprising, symmetry properties. Our approach to finding the limit kernel also differs from the conventional one, because of lack of a simple explicit Christoffel--Darboux formula for the biorthogonal polynomials.Comment: AMSTeX, 26 page

Limits for circular Jacobi beta-ensembles

Bourgade, Nikeghbali and Rouault recently proposed a matrix model for the circular Jacobi $\beta$-ensemble, which is a generalization of the Dyson circular $\beta$-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 $\beta$-ensembles. For the fixed constant $b$, the resulting limit near the spectrum singularity is proven to be a new multivariate function. When $b=\beta Nd/2$, the scaling limits in the bulk and at the soft edge agree with those of the Hermite (Gaussian), Laguerre (Chiral) and Jacobi $\beta$-ensembles proved in the joint work with P Desrosiers "Asymptotics for products of characteristic polynomials in classical beta-ensembles", Constr. Approx. 39 (2014), arXiv:1112.1119v3. As corollaries, for even $\beta$ the scaling limits of point correlation functions for the ensemble are given. Besides, a transition from the spectrum singularity to the soft edge limit is observed as $b$ goes to infinity. The positivity of two special multivariate hypergeometric functions, which appear as one factor of the joint eigenvalue densities for spiked Jacobi/Wishart $\beta$-ensembles and Gaussian $\beta$-ensembles with source, will also be shown.Comment: 26 page

Random Subsets of Structured Deterministic Frames have MANOVA Spectra

We draw a random subset of $k$ rows from a frame with $n$ rows (vectors) and $m$ columns (dimensions), where $k$ and $m$ are proportional to $n$. For a variety of important deterministic equiangular tight frames (ETFs) and tight non-ETF frames, we consider the distribution of singular values of the $k$-subset matrix. We observe that for large $n$ they can be precisely described by a known probability distribution -- Wachter's MANOVA spectral distribution, a phenomenon that was previously known only for two types of random frames. In terms of convergence to this limit, the $k$-subset matrix from all these frames is shown to be empirically indistinguishable from the classical MANOVA (Jacobi) random matrix ensemble. Thus empirically the MANOVA ensemble offers a universal description of the spectra of randomly selected $k$-subframes, even those taken from deterministic frames. The same universality phenomena is shown to hold for notable random frames as well. This description enables exact calculations of properties of solutions for systems of linear equations based on a random choice of $k$ frame vectors out of $n$ possible vectors, and has a variety of implications for erasure coding, compressed sensing, and sparse recovery. When the aspect ratio $m/n$ is small, the MANOVA spectrum tends to the well known Marcenko-Pastur distribution of the singular values of a Gaussian matrix, in agreement with previous work on highly redundant frames. Our results are empirical, but they are exhaustive, precise and fully reproducible

On Eigenvalues of the sum of two random projections

We study the behavior of eigenvalues of matrix P_N + Q_N where P_N and Q_N are two N -by-N random orthogonal projections. We relate the joint eigenvalue distribution of this matrix to the Jacobi matrix ensemble and establish the universal behavior of eigenvalues for large N. The limiting local behavior of eigenvalues is governed by the sine kernel in the bulk and by either the Bessel or the Airy kernel at the edge depending on parameters. We also study an exceptional case when the local behavior of eigenvalues of P_N + Q_N is not universal in the usual sense.Comment: 14 page

Entropy and the Shannon-McMillan-Breiman theorem for beta random matrix ensembles

We show that beta ensembles in Random Matrix Theory with generic real analytic potential have the asymptotic equipartition property. In addition, we prove a Central Limit Theorem for the density of the eigenvalues of these ensembles.Comment: We made small changes suggested by the referees. In particular, we updated the bibliograph

Can chaotic quantum energy levels statistics be characterized using information geometry and inference methods?

In this paper, we review our novel information geometrodynamical approach to chaos (IGAC) on curved statistical manifolds and we emphasize the usefulness of our information-geometrodynamical entropy (IGE) as an indicator of chaoticity in a simple application. Furthermore, knowing that integrable and chaotic quantum antiferromagnetic Ising chains are characterized by asymptotic logarithmic and linear growths of their operator space entanglement entropies, respectively, we apply our IGAC to present an alternative characterization of such systems. Remarkably, we show that in the former case the IGE exhibits asymptotic logarithmic growth while in the latter case the IGE exhibits asymptotic linear growth. At this stage of its development, IGAC remains an ambitious unifying information-geometric theoretical construct for the study of chaotic dynamics with several unsolved problems. However, based on our recent findings, we believe it could provide an interesting, innovative and potentially powerful way to study and understand the very important and challenging problems of classical and quantum chaos.Comment: 21 page