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.     

Effects of spin interactions in disordered electronic systems: Loop expansions and exact relations among local gauge invariant models

Spindependent ensembles for disordered electronic systems are examined in the region of extended states. We derive relations between spindependent and previously studied spinless ensembles. We prove that these relations are valid in all orders of a graph theory, on the basis of which we propose them to be exact. These exact relations and supplementary two loop order calculations in 2+ dimensions are used to reveal the existence of universality classes for the critical behaviour at the mobility edges. The mobility edge behaviour of a spindependent ensemble with real (random) hopping agrees with that of the spinless phase invariant ensemble except for a crossover to the real matrix ensemble in the limit of vanishing spinflip amplitudes. Anomalous properties in the band center are also discussed. We derive a transformation which maps arbitrary correlation functions of a complex spindependent ensemble into those of the real matrix ensemble. This relation implies the absence of a mobility edge for the complex spindependent ensemble within the validity region of the theory.     

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.     

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.     

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.     

Airy Kernel with Two Sets of Parameters in Directed Percolation and Random Matrix Theory

We introduce a generalization of the extended Airy kernel with two sets of real parameters. We show that this kernel arises in the edge scaling limit of correlation kernels of determinantal processes related to a directed percolation model and to an ensemble of random matrices.     

Statistics of real eigenvalues in Ginibre's ensemble of random real matrices

The integrable structure of Ginibre's orthogonal ensemble of random matrices is looked at through the prism of the probability p(n,k) to find exactly k real eigenvalues in the spectrum of an n x n real asymmetric Gaussian random matrix. The exact solution for the probability function p(n,k) is presented, and its remarkable connection to the theory of symmetric functions is revealed. An extension of the Dyson integration theorem is a key ingredient of the theory presented.     

Random matrix analysis of human EEG data

We use random matrix theory to demonstrate the existence of generic and subject-independent features of the ensemble of correlation matrices extracted from human EEG data. In particular, the spectral density as well as the level spacings was analyzed and shown to be generic and subject independent. We also investigate number variance distributions. In this case we show that when the measured subject is visually stimulated the number variance displays deviations from the random matrix prediction.     

Limit Correlation Functions for Fixed Trace Random Matrix Ensembles

Universal limits for the eigenvalue correlation functions in the bulk of the spectrum are shown for a class of nondeterminantal random matrices known as the fixed trace or the Hilbert-Schmidt ensemble. These universal limits have been proved before for determinantal Hermitian matrix ensembles and for some special classes of the Wigner random matrices. Research supported by Sonderforschungsbereich 701 “Spektrale Strukturen und Topologische Methoden in der Mathematik”. Research supported by Sonderforschungsbereich 701 “Spektrale Strukturen und Topologische Methoden in der Mathematik,” and grants RFBR-05-01-00911, DFG-RFBR-04-01-04000, and NS-638.2008.1.     

Random matrix theory and non-parametric model of random uncertainties in vibration analysis

Recently, a new approach, called a non-parametric model of random uncertainties, has been introduced for modelling random uncertainties in linear and non-linear elastodynamics in the low-frequency range. This non-parametric approach differs from the parametric methods for random uncertainties modelling and has been developed in introducing a new ensemble of random matrices constituted of symmetric positive-definite real random matrices. This ensemble differs from the Gaussian orthogonal ensemble (GOE) and from the other known ensembles of the random matrix theory. The present paper has three main objectives. The first one is to study the statistics of the random eigenvalues of random matrices belonging to this new ensemble and to compare with the GOE. The second one is to compare this new ensemble of random matrices with the GOE in the context of the non-parametric approach of random uncertainties in structural dynamics for the low-frequency range. The last objective is to give a new validation for the non-parametric model of random uncertainties in structural dynamics in comparing, in the low-frequency range, the dynamical response of a simple system having random uncertainties modelled by the parametric and the non-parametric methods. These three objectives will allow us to conclude about the validity of the different theories.     

On the 1/n Expansion for Some Unitary Invariant Ensembles of Random Matrices

We present a version of the 1/n-expansion for random matrix ensembles known as matrix models. The case where the support of the density of states of an ensemble consists of one interval and the case where the density of states is even and its support consists of two symmetric intervals is treated. In these cases we construct the expansion scheme for the Jacobi matrix determining a large class of expectations of symmetric functions of eigenvalues of random matrices, prove the asymptotic character of the scheme and give an explicit form of the first two terms. This allows us, in particular, to clarify certain theoretical physics results on the variance of the normalized traces of the resolvent of random matrices. We also find the asymptotic form of several related objects, such as smoothed squares of certain orthogonal polynomials, the normalized trace and the matrix elements of the resolvent of the Jacobi matrices, etc. Received: 9 November 2000 / Accepted: 26 July 2001     

Eigenvalue density of cross-correlations in Sri Lankan financial market

We apply the universal properties with Gaussian orthogonal ensemble (GOE) of random matrices namely spectral properties, distribution of eigenvalues, eigenvalue spacing predicted by random matrix theory (RMT) to compare cross-correlation matrix estimators from emerging market data. The daily stock prices of the Sri Lankan All share price index and Milanka price index from August 2004 to March 2005 were analyzed. Most eigenvalues in the spectrum of the cross-correlation matrix of stock price changes agree with the universal predictions of RMT. We find that the cross-correlation matrix satisfies the universal properties of the GOE of real symmetric random matrices. The eigen distribution follows the RMT predictions in the bulk but there are some deviations at the large eigenvalues. The nearest-neighbor spacing and the next nearest-neighbor spacing of the eigenvalues were examined and found that they follow the universality of GOE. RMT with deterministic correlations found that each eigenvalue from deterministic correlations is observed at values, which are repelled from the bulk distribution.     

Typicality versus thermality: an analytic distinction

In systems with a large degeneracy of states such as black holes, one expects that the average value of probe correlation functions will be well approximated by the thermal ensemble. To understand how correlation functions in individual microstates differ from the canonical ensemble average and from each other, we study the variances in correlators. Using general statistical considerations, we show that the variance between microstates will be exponentially suppressed in the entropy. However, by exploiting the analytic properties of correlation functions we argue that these variances are amplified in imaginary time, thereby distinguishing pure states from the thermal density matrix. We demonstrate our general results in specific examples and argue that our results apply to the microstates of black holes.     

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.     

Universality at the Edge of the Spectrum¶in Wigner Random Matrices

We prove universality at the edge for rescaled correlation functions of Wigner random matrices in the limit n→+∞. As a corollary, we show that, after proper rescaling, the 1^th, 2^nd, 3^rd, etc. eigenvalues of Wigner random hermitian (resp. real symmetric) matrix weakly converge to the distributions established by Tracy and Widom in G.U.E. (G.O.E.) cases. Received: 15 May 1999 / Accepted: 18 May 1999     

Some consequences of exchangeability in random-matrix theory

Properties of infinite sequences of exchangeable random variables result directly in explicit expressions for calculating asymptotic densities of eigenvalues rho(infinity)(lambda) of any ensemble of random matrices H whose distribution depends only on tr(H+H), where H+ is the Hermitian conjugate of H. For real symmetric matrices and for Hermitian matrices, the densities rho(infinity)(lambda) are constructed by summing up Wigner semicircles with varying radii and weights as confirmed by Monte Carlo simulations. Extensions to more general matrix ensembles are also considered.     

Invariant Measures for Passive Scalars in the Small Noise Inviscid Limit

We study the singular values of the product of two coupled rectangular random matrices as a determinantal point process. Each of the two factors is given by a parameter dependent linear combination of two independent, complex Gaussian random matrices, which is equivalent to a coupling of the two factors via an Itzykson-Zuber term. We prove that the squared singular values of such a product form a biorthogonal ensemble and establish its exact solvability. The parameter dependence allows us to interpolate between the singular value statistics of the Laguerre ensemble and that of the product of two independent complex Ginibre ensembles which are both known. We give exact formulae for the correlation kernel in terms of a complex double contour integral, suitable for the subsequent asymptotic analysis. In particular, we derive a Christoffel–Darboux type formula for the correlation kernel, based on a five term recurrence relation for our biorthogonal functions. It enables us to find its scaling limit at the origin representing a hard edge. The resulting limiting kernel coincides with the universal Meijer G-kernel found by several authors in different ensembles. We show that the central limit theorem holds for the linear statistics of the singular values and give the limiting variance explicitly.     

Universal Results for Correlations of Characteristic Polynomials: Riemann-Hilbert Approach

We prove that general correlation functions of both ratios and products of characteristic polynomials of Hermitian random matrices are governed by integrable kernels of three different types: a) those constructed from orthogonal polynomials, b) those constructed from Cauchy transforms of the same orthogonal polynomials, and finally c) those constructed from both orthogonal polynomials and their Cauchy transforms. These kernels are related with the Riemann-Hilbert problem for orthogonal polynomials. For the correlation functions we obtain exact expressions in the form of determinants of these kernels. Derived representations enable us to study asymptotics of correlation functions of characteristic polynomials via the Deift-Zhou steepest-descent/stationary phase method for Riemann-Hilbert problems, and in particular to find negative moments of characteristic polynomials. This reveals the universal parts of the correlation functions and moments of characteristic polynomials for an arbitrary invariant ensemble of =2 symmetry class.     

Replica field theories,painlevé transcendents,and exact correlation functions

Exact solvability is claimed for nonlinear replica sigma models derived in the context of random matrix theories. Contrary to other approaches reported in the literature, the framework outlined does not rely on traditional "replica symmetry breaking" but rests on a previously unnoticed exact relation between replica partition functions and Painlevé transcendents. While expected to be applicable to matrix models of arbitrary symmetries, the method is used to treat fermionic replicas for the Gaussian unitary ensemble (GUE), chiral GUE (symmetry classes A and AIII in Cartan classification) and Ginibre's ensemble of complex non-Hermitian random matrices. Further applications are briefly discussed.     

Correlation inequalities and the thermodynamic limit for classical and quantum continuous systems II. Bose-Einstein and Fermi-Dirac statistics

We study quantum mechanical systems of particles with Bose or Fermi statistics interacting via two-body potentials of positive type in thermal equilibrium. We rewrite partition functions, reduced density matrices (RDMs), and correlation functions in terms of Wiener and Gaussian functional integrals (sine-Gordon transformation). This permits us, e.g., to apply correlation inequalities. Our main results include an analysis of stability versus instability in the grand canonical ensemble and, for charge-conjugation-invariant systems, upper and lower bounds on RDMs, the existence of the thermodynamic limit of pressure, RDMs and correlation functions, an inequality comparing correlations with Fermi statistics to ones with Bose statistics, and inequalities which are important in the study of Bose-Einstein condensation and of superconductivity.This research was done in part during the author's stay at the Department of Physics of Princeton University and was partially supported by the NSF under grant NSF PHY 76-80958.