A limit theorem for the eigenvalues of product of two random matrices

The existence of limit spectral distribution of the product of two independent random matrices is proved when the number of variables tends to infinity. One of the above matrices is the Wishart matrix and the other is a symmetric nonnegative definite matrix.     

Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA

The existence of a limiting spectral distribution (LSD) for a large-dimensional sample covariance matrix generated by the vector autoregressive moving average (VARMA) model is established. In particular, we obtain explicit forms of the LSDs for random matrices generated by a first-order vector autoregressive (VAR(1)) model and a first-order vector moving average (VMA(1)) model, as well as random coefficients for VAR(1) and VMA(1). The parameters for these explicit forms are also estimated. Finally, simulations demonstrate that the results are effective.     

A mixed random walk on nonnegative matrices: A law of large numbers

In this paper a mixed random walk on nonnegative matrices has been studied. Under reasonable conditions, existence of a unique invariant probability measure and a law of large numbers have been established for such walks.     

Limiting behavior of the eigenvalues of a multivariate F matrix

The spectral distribution of a central multivariate F matrix is shown to tend to a limit distribution in probability under certain conditions as the number of variables and the degrees of freedom tend to infinity.     

The inverted complex Wishart distribution and its application to spectral estimation

The inverted complex Wishart distribution and its use for the construction of spectral estimates are studied. The density, some marginals of the distribution, and the first- and second-order moments are given. For a vector-valued time series, estimation of the spectral density at a collection of frequencies and estimation of the increments of the spectral distribution function in each of a set of frequency bands are considered. A formal procedure applies Bayes theorem, where the complex Wishart is used to represent the distribution of an average of adjacent periodogram values. A conjugate prior distribution for each parameter is an inverted complex Wishart distribution. Use of the procedure for estimation of a 2 × 2 spectral density matrix is discussed.     

Factoring matrices into the product of two matrices

Linear algebra of factoring a matrix into the product of two matrices with special properties is developed. This is accomplished in terms of the so-called inverse of a matrix subspace which yields an extended notion for the invertibility of a matrix. The product of two matrix subspaces gives rise to a natural generalization of the concept of matrix subspace. Extensions of these ideas are outlined. Several examples on factoring are presented. AMS subject classification (2000)  15A23, 65F30     

A note on the spectral distribution of toeplitz matrices

An elementary and direct proof of the Szegö formula is given, for both eigen and singular values. This proof, which is based on tools from linear algebra and does not rely on the theory of Fourier series, simultaneously embraces multilevel Toeplitz matrices, block Toeplitz matrices and combinations of them. The assumptions on the generating

function f are as weak as possible; indeedf is a matrix-valued function of p variables, and it is only supposed to be integrable. In the case of singular values f(x), and hence the block p-level Toeplitz matrices it generates, are not even supposed to be square matrices. Moreover, in the asymptotic formulas for eigen and singular values the test functions involved are not required to have compact support.     

Semiconvergence in distribution of random closed sets with application to random optimization problems

The paper considers upper semicontinuous behavior in distribution of sequences of random closed sets. Semiconvergence in distribution will be described via convergence in distribution of random variables with values in a suitable topological space. Convergence statements for suitable functions of random sets are proved and the results are employed to derive stability statements for random optimization problems where the objective function and the constraint set are approximated simultaneously. The author is grateful to two anonymous referees for helpful suggestions.     

The information matrices of the parameters of multiple mixed time series

Closed form matrix equations are given for the information matrix of the parameters of the vector mixed autoregressive moving average time series model.     

The limiting theorems of random quadratic forms and their application

The strong convergence and convergence rate of the random quadratic forms s1T(S1S1T)Ms1 and s1T(SST)ms1 are set up. The application of these results in wireless communication is given. Simulation results are presented.     

The distribution of nodes of given degree in random trees

Let 𝒯_n denote the set of unrooted unlabeled trees of size n and let k ≥ 1 be given. By assuming that every tree of 𝒯_n is equally likely, it is shown that the limiting distribution of the number of nodes of degree k is normal with mean value ∼ μ_kn and variance ∼ σn with positive constants μ_k and σ_k. Besides, the asymptotic behavior of μ_k and σ_k for k → ∞ as well as the corresponding multivariate distributions are derived. Furthermore, similar results can be proved for plane trees, for labeled trees, and for forests. © 1999 John Wiley & Sons, Inc. J Graph Theory 31: 227–253, 1999     

On the convergence of the product of independent random operators

In this paper, we study infinite products of independent random operators. Conditions for the existence a.s. and the convergence in mean of order p of such infinite products are established.     

A note on the time series which is the product of two stationary time series

The time series […,x_-1y_-1,x₀y₀,x₁y₁,…]> which is the product of two stationary time series x_t and y_t is studied. Such sequences arise in the study of nonlinear time series, censored time series, amplitude modulated time series, time series with random parameters, and time series with missing observations. The mean and autocovariance function of the product sequence are derived.     

The distribution of height and diameter in random non‐plane binary trees

This study is dedicated to precise distributional analyses of the height of non‐plane unlabelled binary trees (“Otter trees”), when trees of a given size are taken with equal likelihood. The height of a rooted tree of size n is proved to admit a limiting theta distribution, both in a central and local sense, and obey moderate as well as large deviations estimates. The approximations obtained for height also yield the limiting distribution of the diameter of unrooted trees. The proofs rely on a precise analysis, in the complex plane and near singularities, of generating functions associated with trees of bounded height. © 2011 Wiley Periodicals, Inc. Random Struct. Alg., 2012     

On the matrices in B-spline collocation methods for Riesz fractional equations and their spectral properties

In this work, we focus on a fractional differential equation in Riesz form discretized by a polynomial B-spline collocation method. For an arbitrary polynomial degree $p$, we show that the resulting coefficient matrices possess a Toeplitz-like structure. We investigate their spectral properties via their symbol and we prove that, like for second order differential problems, the given matrices are ill-conditioned both in the low and high frequencies for large $p$. More precisely, in the fractional scenario the symbol vanishes at 0 with order $\alpha$, the fractional derivative order that ranges from 1 to 2, and it decays exponentially to zero at $\pi$ for increasing $p$ at a rate that becomes faster as $\alpha$ approaches 1. This translates into a mitigated conditioning in the low frequencies and into a deterioration in the high frequencies when compared to second order problems. Furthermore, the derivation of the symbol reveals another similarity of our problem with a classical diffusion problem. Since the entries of the coefficient matrices are defined as evaluations of fractional derivatives of the B-spline basis at the collocation points, we are able to express the central entries of the coefficient matrix as inner products of two fractional derivatives of cardinal B-splines. Finally, we perform a numerical study of the approximation behavior of polynomial B-spline collocation. This study suggests that, in line with nonfractional diffusion problems, the approximation order for smooth solutions in the fractional case is $p+2-\alpha$ for even $p$, and $p+1-\alpha$ for odd $p$.     

The problem of identification of parameters by the distribution of the maximum random variable

Suppose that X₁, X₂,…, X_n are independently distributed according to certain distributions. Does the distribution of the maximum of {X₁, X₂,…, X_n} uniquely determine their distributions? In the univariate case, a general theorem covering the case of Cauchy random variables is given here. Also given is an affirmative answer to the above question for general bivariate normal random variables with non-zero correlations. Bivariate normal random variables with nonnegative correlations were considered earlier in this context by T. W. Anderson and S. G. Ghurye.