Eigenvalue densities of real and complex Wishart correlation matrices

Wishart correlation matrices are the standard model for the statistical analysis of time series. The ensemble averaged eigenvalue density is of considerable practical and theoretical interest. For complex time series and correlation matrices, the eigenvalue density is known exactly. In the real case, a fundamental mathematical obstacle made it forbiddingly complicated to obtain exact results. We use the supersymmetry method to fully circumvent this problem. We present an exact formula for the eigenvalue density in the real case in terms of twofold integrals and finite sums.     

Factorization of correlation functions and the replica limit of the Toda lattice equation

Exact microscopic spectral correlation functions are derived by means of the replica limit of the Toda lattice equation. We consider both Hermitian and non-Hermitian theories in the Wigner–Dyson universality class (class A) and in the chiral universality class (class AIII). In the Hermitian case we rederive two-point correlation functions for class A and class AIII as well as several one-point correlation functions in class AIII. In the non-Hermitian case the average spectral density of non-Hermitian complex random matrices in the weak non-Hermiticity limit is obtained directly from the replica limit of the Toda lattice equation. In the case of class A, this result describes the spectral density of a disordered system in a constant imaginary vector potential (the Hatano–Nelson model) which is known from earlier work. New results are obtained for the average spectral density in the weak non-Hermiticity limit of a quenched chiral random matrix model at non-zero chemical potential. These results apply to the ergodic or ϵ domain of the quenched QCD partition function at non-zero chemical potential. Our results have been checked against numerical results obtained from a large ensemble of random matrices. The spectral density obtained is different from the result derived by Akemann for a closely related model, which is given by the leading order asymptotic expansion of our result. In all cases, the replica limit of the Toda lattice equation explains the factorization of spectral one- and two-point functions into a product of a bosonic (non-compact integral) and a fermionic (compact integral) partition function. We conclude that the fermionic partition functions, the bosonic partition functions and the supersymmetric partition function are all part of a single integrable hierarchy. This is the reason that it is possible to obtain the supersymmetric partition function, and its derivatives, from the replica limit of the Toda lattice equation.     

Measurement of wave chaotic eigenfunctions in the time-reversal symmetry-breaking crossover regime

We present experimental results on eigenfunctions of a wave chaotic system in the continuous crossover regime between time-reversal symmetric and time-reversal symmetry-broken states. The statistical properties of the eigenfunctions of a two-dimensional microwave resonator are analyzed as a function of an experimentally determined time-reversal symmetry-breaking parameter. We test four theories of one-point eigenfunction statistics and introduce a new theory relating the one-point and two-point statistical properties in the crossover regime. We also find a universal correlation between the one-point and two-point statistical parameters for the crossover eigenfunctions.     

Eigenvalue Distribution in the Self-Dual Non-Hermitian Ensemble

We consider an ensemble of self-dual matrices with arbitrary complex entries. This ensemble is closely related to a previously defined ensemble of anti-symmetric matrices with arbitrary complex entries. We study the two-level correlation functions numerically. Although no evidence of non-monotonicity is found in the real space correlation function, a definite shoulder is found. On the analytical side, we discuss the relationship between this ensemble and the β=4 two-dimensional one-component plasma, and also argue that this ensemble, combined with other ensembles, exhausts the possible universality classes in non-hermitian random matrix theory. This argument is based on combining the method of hermitization of Feinberg and Zee with Zirnbauer's classification of ensembles in terms of symmetric spaces.     

Asymptotic Distribution of Eigenvalues of Weakly Dilute Wishart Matrices

We study the eigenvalue distribution of large random matrices that are randomly diluted. We consider two random matrix ensembles that in the pure (nondilute) case have a limiting eigenvalue distribution with a singular component at the origin. These include the Wishart random matrix ensemble and Gaussian random matrices with correlated entries. Our results show that the singularity in the eigenvalue distribution is rather unstable under dilution and that even weak dilution destroys it. This revised version was published online in July 2006 with corrections to the Cover Date.     

Nested Construction of Families of Complex Hadamard Matrices

We present a new parametrization of families of complex Hadamard matrices stemming from the Fourier matrices in every prime power dimension. We connect continuous Abelian groups with families of complex Hadamard matrices and conjecture that the constructed families are maximal. Also, we derive new relations for complex Hadamard matrices in every prime power dimension and prove that some real Hadamard matrices can be written as a product of an arbitrarily large number of real Hadamard matrices.     

Eigenvalue density of linear stochastic dynamical systems: A random matrix approach

Eigenvalue problems play an important role in the dynamic analysis of engineering systems modeled using the theory of linear structural mechanics. When uncertainties are considered, the eigenvalue problem becomes a random eigenvalue problem. In this paper the density of the eigenvalues of a discretized continuous system with uncertainty is discussed by considering the model where the system matrices are the Wishart random matrices. An analytical expression involving the Stieltjes transform is derived for the density of the eigenvalues when the dimension of the corresponding random matrix becomes asymptotically large. The mean matrices and the dispersion parameters associated with the mass and stiffness matrices are necessary to obtain the density of the eigenvalues in the frameworks of the proposed approach. The applicability of a simple eigenvalue density function, known as the Marenko–Pastur (MP) density, is investigated. The analytical results are demonstrated by numerical examples involving a plate and the tail boom of a helicopter with uncertain properties. The new results are validated using an experiment on a vibrating plate with randomly attached spring–mass oscillators where 100 nominally identical samples are physically created and individually tested within a laboratory framework.     

The Ginibre Ensemble of Real Random Matrices and its Scaling Limits

We give a closed form for the correlation functions of ensembles of a class of asymmetric real matrices in terms of the Pfaffian of an antisymmetric matrix formed from a 2 × 2 matrix kernel associated to the ensemble. We apply this result to the real Ginibre ensemble and compute the bulk and edge scaling limits of its correlation functions as the size of the matrices becomes large.     

Generalized Helmholtz-Gauss beam and its transformation by paraxial optical systems

We introduce the generalized Helmholtz-Gauss (gHzG) beam and analyze its propagation through optical systems described by ABCD matrices with real and complex elements. The transverse mathematical structure of the gHzG beam is form invariant under paraxial transformations and reduces to those of ordinary HzG and modified HzG beams as special cases. We derive a closed-form expression for the fractional Fourier transform of gHzG beams.     

Correlation functions for multi-matrix models and quaternion determinants

Using a close relationship to the Brownian motion model of random matrices, multi-matrix models in quantum field theory are analyzed. In the case many hermitian matrices are connected in a chain and one of them has a restricted (real symmetric, self dual real quaternion or antisymmetric hermitian) symmetry, the multi-matrix multi-level correlation functions are shown to have quaternion determinant forms.     

Influence of the Parameters of a Random Medium on the Characteristics of Transient Reflections

Based on the invariant imbedding method, we study numerically the statistical characteristics of the kernel of the backscattering operator in the case of normal incidence of a plane wave on a one-dimensional random medium with strong fluctuation intensities and various correlation radii of the irregularities. The local reflection coefficient of the medium is modelled by a centered Gaussian process with an exponential correlation function. The first eight one-point cumulants and the correlation functions of delta-pulse reflection are considered and the fluctuation phenomena are analyzed. The transition to the diffusion scattering regime is studded, and the numerical results are compared with the known analytical solutions.     

Distribution of complex eigenvalues for symplectic ensembles of non-Hermitian matrices

A symplectic ensemble of disordered non-Hermitian Hamiltonians is studied. Starting from a model with an imaginary magnetic field, we derive a proper supermatrix σ-model. The zero-dimensional version of this model corresponds to a symplectic ensemble of weakly non-Hermitian matrices. We derive analytically an explicit expression for the density of complex eigenvalues. This function proves to differ qualitatively from those known for the unitary and orthogonal ensembles. In contrast to these cases, a depletion of the eigenvalues occurs near the real axis. The result about the depletion is in agreement with a previous numerical study performed for QCD models.     

The supersymmetric transfer matrix for linear chains with nondiagonal disorder

A study is made of the supersymmetric transfer matrix of then-orbital linear chain with Gaussian nondiagonal and diagonal disorder in the matrix (Hubbard-Stratonovich) variables. This formalism is applied to the one-point Green's function. Invariant functions of supersymmetric matrices are discussed in Section 3.Work supported by the Deutsche Forschungsgemeinschaft.     

Large dimension forecasting models and random singular value spectra

We present a general method to detect and extract from a finite time sample statistically meaningful correlations between input and output variables of large dimensionality. Our central result is derived from the theory of free random matrices, and gives an explicit expression for the interval where singular values are expected in the absence of any true correlations between the variables under study. Our result can be seen as the natural generalization of the Marčenko-Pastur distribution for the case of rectangular correlation matrices. We illustrate the interest of our method on a set of macroeconomic time series.     

Path Integrals and Statistics of Identical Particles

We summarize the essential ingredients, which enabled us to derive the path-integral for a system of harmonically interacting spin-polarized identical particles in a parabolic confining potential, including both the statistics (Bose–Einstein or Fermi–Dirac) and the harmonic interaction between the particles. This quadratic model, giving rise to repetitive Gaussian integrals, allows to derive an analytical expression for the generating function of the partition function. The calculation of this generating function circumvents the constraints on the summation over the cycles of the permutation group. Moreover, it allows one to calculate the canonical partition function recursively for the system with harmonic two-body interactions. Also, static one-point and two-point correlation functions can be obtained using the same technique, which make the model a powerful trial system for further variational treatments of realistic interactions.     

First-order probability density function of the laser speckle phase

An expression for the first-order probability density function of the laser speckle phase is analytically derived under the assumption that the speckle field obeys a non-circular, complex Gaussian, random process with a certain correlation between the real and imaginary parts of its complex amplitude. The probability density function of the speckle phase is actually evaluated for various cases and shown three-dimensionally as a function of the standard deviation of random object phase variations. The effect of random object phase variations on the probability density function is also investigated in detail.     

A Real Quaternion Spherical Ensemble of Random Matrices

One can identify a tripartite classification of random matrix ensembles into geometrical universality classes corresponding to the plane, the sphere and the anti-sphere. The plane is identified with Ginibre-type (iid) matrices and the anti-sphere with truncations of unitary matrices. This paper focusses on an ensemble corresponding to the sphere: matrices of the form Y=A ^?1 B, where A and B are independent N×N matrices with iid standard Gaussian real quaternion entries. By applying techniques similar to those used for the analogous complex and real spherical ensembles, the eigenvalue joint probability density function and correlation functions are calculated. This completes the exploration of spherical matrices using the traditional Dyson indices β=1,2,4. We find that the eigenvalue density (after stereographic projection onto the sphere) has a depletion of eigenvalues along a ring corresponding to the real axis, with reflective symmetry about this ring. However, in the limit of large matrix dimension, this eigenvalue density approaches that of the corresponding complex ensemble, a density which is uniform on the sphere. This result is in keeping with the spherical law (analogous to the circular law for iid matrices), which states that for matrices having the spherical structure Y=A ^?1 B, where A and B are independent, iid matrices the (stereographically projected) eigenvalue density tends to uniformity on the sphere.     

The complex Laguerre symplectic ensemble of non-Hermitian matrices

We solve the complex extension of the chiral Gaussian symplectic ensemble, defined as a Gaussian two-matrix model of chiral non-Hermitian quaternion real matrices. This leads to the appearance of Laguerre polynomials in the complex plane and we prove their orthogonality. Alternatively, a complex eigenvalue representation of this ensemble is given for general weight functions. All k-point correlation functions of complex eigenvalues are given in terms of the corresponding skew orthogonal polynomials in the complex plane for finite-N, where N is the matrix size or number of eigenvalues, respectively. We also allow for an arbitrary number of complex conjugate pairs of characteristic polynomials in the weight function, corresponding to massive quark flavours in applications to field theory. Explicit expressions are given in the large-N limit at both weak and strong non-Hermiticity for the weight of the Gaussian two-matrix model. This model can be mapped to the complex Dirac operator spectrum with non-vanishing chemical potential. It belongs to the symmetry class of either the adjoint representation or two colours in the fundamental representation using staggered lattice fermions.     

Non-hermitian random matrix models

We introduce an extension of the diagrammatic rules in random matrix theory and apply it to non-hermitian random matrix models using the 1/N approximation. A number of one-and two-point functions are evaluated on their holomorphic and non-holomorphic supports to leading order in 1/N. The one-point functions describe the distribution of eigenvalues, while the two-point functions characterize their macroscopic cotrelations. The generic form for the two-point functions is obtained, generalizing the concept of macroscopic universality to non-hermitian random matrices. We show that the holomorphic and non-holomorphic one- and two-point functions condition the behavior of pertinent partition functions to order O(1/N). We derive explicit conditions for the location and distribution of their singularities. Most of our analytical results are found to be in good agreement with numerical calculations using large ensembles of complex matrices.     

Networks of equities in financial markets

We review the recent approach of correlation based networks of financial equities. We investigate portfolio of stocks at different time horizons, financial indices and volatility time series and we show that meaningful economic information can be extracted from noise dressed correlation matrices. We show that the method can be used to falsify widespread market models by directly comparing the topological properties of networks of real and artificial markets.Received: 26 November 2003, Published online: 14 May 2004PACS: 89.75.Fb Structures and organization in complex systems - 89.75.Hc Networks and genealogical trees - 89.65.Gh Economics; econophysics, financial markets, business and management