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Correlation functions, cluster functions, and spacing distributions for random matrices
 J. Statist. Phys
, 1998
"... The usual formulas for the correlation functions in orthogonal and symplectic matrix models express them as quaternion determinants. From this representation one can deduce formulas for spacing probabilities in terms of Fredholm determinants of matrixvalued kernels. The derivations of the various f ..."
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Cited by 94 (12 self)
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The usual formulas for the correlation functions in orthogonal and symplectic matrix models express them as quaternion determinants. From this representation one can deduce formulas for spacing probabilities in terms of Fredholm determinants of matrixvalued kernels. The derivations of the various formulas are somewhat involved. In this article we present a direct approach which leads immediately to scalar kernels for the unitary ensembles and matrix kernels for the orthogonal and symplectic ensembles, and the representations of the correlation functions, cluster functions, and spacing distributions in terms of them.
Point processes and the infinite symmetric group. Part III: Fermion point processes
, 1998
"... Abstract. We study a 2parametric family of probability measures on an infinite– dimensional simplex (the Thoma simplex). These measures originate in harmonic analysis on the infinite symmetric group (S. Kerov, G. Olshanski and A. Vershik, Comptes Rendus Acad. Sci. Paris I 316 (1993), 773778). Our ..."
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Cited by 40 (20 self)
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Abstract. We study a 2parametric family of probability measures on an infinite– dimensional simplex (the Thoma simplex). These measures originate in harmonic analysis on the infinite symmetric group (S. Kerov, G. Olshanski and A. Vershik, Comptes Rendus Acad. Sci. Paris I 316 (1993), 773778). Our approach is to interprete them as probability distributions on a space of point configurations, i.e., as certain point stochastic processes, and to find the correlation functions of these processes. In the present paper we relate the correlation functions to the solutions of certain multidimensional moment problems. Then we calculate the first correlation function which leads to a conclusion about the support of the initial measures. In the appendix, we discuss a parallel but more elementary theory related to the well–known Poisson–Dirichlet distribution. The higher correlation functions are explicitly calculated in the subsequent paper (A. Borodin). In the third part (A. Borodin and G. Olshanski) we discuss some applications and relationships with the random matrix theory. The goal of our work is to understand new phenomena in noncommutative harmonic analysis which arise when the irreducible representations depend on countably many continuous parameters.
Differential Equations for Dyson Processes
, 2004
"... We call a Dyson process any process on ensembles of matrices in which the entries undergo diffusion. We are interested in the distribution of the eigenvalues (or singular values) of such matrices. In the original Dyson process it was the ensemble of n×n Hermitian matrices, and the eigenvalues desc ..."
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Cited by 25 (3 self)
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We call a Dyson process any process on ensembles of matrices in which the entries undergo diffusion. We are interested in the distribution of the eigenvalues (or singular values) of such matrices. In the original Dyson process it was the ensemble of n×n Hermitian matrices, and the eigenvalues describe n curves. Given sets X1,...,Xm the probability that for each k no curve passes through Xk at time τk is given by the Fredholm determinant of a certain matrix kernel, the extended Hermite kernel. For this reason we call this Dyson process the Hermite process. Similarly, when the entries of a complex matrix undergo diffusion we call the evolution of its singular values the Laguerre process, for which there is a corresponding extended Laguerre kernel. Scaling the Hermite process at the edge leads to the Airy process (which was introduced by Prähofer and Spohn as the limiting stationary process for a polynuclear growth model) and in the bulk to the sine process; scaling the Laguerre process at the edge leads to the Bessel process. In earlier work the authors found a system of ordinary differential equations with independent variable ξ whose solution determined the probabilities Pr (A(τ1) <ξ1 + ξ,...,A(τm) <ξm + ξ), where τ → A(τ) denotes the top curve of the Airy process. Our first result is a generalization and strengthening of this. We assume that each Xk is a finite union of intervals and find a system of partial differential equations, with the endpoints of the intervals of the Xk as independent variables, whose solution determines the probability that for each k no curve passes through Xk at time τk. Then we find the analogous systems for the Hermite process (which is more complicated) and also for the sine process. Finally we find an analogous system of PDEs for the Bessel process, which is the most difficult.
Developments in random matrix theory
 J. Phys. A: Math. Gen
, 2000
"... In this preface to the Journal of Physics A, Special Edition on Random Matrix Theory, we give a review of the main historical developments of random matrix theory. A short summary of the papers that appear in this special edition is also given. 1 1 ..."
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Cited by 17 (0 self)
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In this preface to the Journal of Physics A, Special Edition on Random Matrix Theory, we give a review of the main historical developments of random matrix theory. A short summary of the papers that appear in this special edition is also given. 1 1
ON THE NUMERICAL EVALUATION OF FREDHOLM DETERMINANTS
, 804
"... Abstract. Some significant quantities in mathematics and physics are most naturally expressed as the Fredholm determinant of an integral operator, most notably many of the distribution functions in random matrix theory. Though their numerical values are of interest, there is no systematic numerical ..."
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Cited by 10 (5 self)
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Abstract. Some significant quantities in mathematics and physics are most naturally expressed as the Fredholm determinant of an integral operator, most notably many of the distribution functions in random matrix theory. Though their numerical values are of interest, there is no systematic numerical treatment of Fredholm determinants to be found in the literature. Instead, the few numerical evaluations that are available rely on eigenfunction expansions of the operator, if expressible in terms of special functions, or on alternative, numerically more straightforwardly accessible analytic expressions, e.g., in terms of Painlevé transcendents, that have masterfully been derived in some cases. In this paper we close the gap in the literature by studying projection methods and, above all, a simple, easily implementable, general method for the numerical evaluation of Fredholm determinants that is derived from the classical Nyström method for the solution of Fredholm equations of the second kind. Using Gauss–Legendre or Clenshaw– Curtis as the underlying quadrature rule, we prove that the approximation error essentially behaves like the quadrature error for the sections of the kernel. In particular, we get exponential convergence for analytic kernels, which are typical in random matrix theory. The application of the method to the distribution functions of the Gaussian unitary ensemble (GUE), in the bulk and the edge scaling limit, is discussed in detail. After extending the method to systems of integral operators, we evaluate the twopoint correlation functions of the more recently studied Airy and Airy 1 processes. Key words. Fredholm determinant, Nyström’s method, projection method, trace class operators, random
Spectral Statistics of ErdősRényi Graphs I: Local Semicircle Law
, 2011
"... We consider the ensemble of adjacency matrices of ErdősRényi random graphs, i.e. graphs on N vertices where every edge is chosen independently and with probability p ≡ p(N). We rescale the matrix so that its bulk eigenvalues are of order one. We prove that, as long as pN → ∞ (with a speed at least ..."
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Cited by 10 (7 self)
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We consider the ensemble of adjacency matrices of ErdősRényi random graphs, i.e. graphs on N vertices where every edge is chosen independently and with probability p ≡ p(N). We rescale the matrix so that its bulk eigenvalues are of order one. We prove that, as long as pN → ∞ (with a speed at least logarithmic in N), the density of eigenvalues of the ErdősRényi ensemble is given by the Wigner semicircle law for spectral windows of length larger than N −1 (up to logarithmic corrections). As a consequence, all eigenvectors are proved to be completely delocalized in the sense that the ℓ ∞norms of the ℓ 2normalized eigenvectors are at most of order N −1/2 with a very high probability. The estimates in this paper will be used in the companion paper [13] to prove the universality of eigenvalue distributions both in the bulk and at the spectral edges under the further restriction that pN ≫ N 2/3.
On the analysis of crosscorrelations in South African market data
 Physica A, Volume 344, Issues 12
, 2004
"... We apply random matrix theory (RMT) to the analysis of an emerging market. In particular we analyse correlation matrices C constructed from 10 years of daily data for stocks listed on the Johannesburg Stock Exchange (JSE) from January 1993 to December 2002. We test the spectral properties of C again ..."
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Cited by 9 (4 self)
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We apply random matrix theory (RMT) to the analysis of an emerging market. In particular we analyse correlation matrices C constructed from 10 years of daily data for stocks listed on the Johannesburg Stock Exchange (JSE) from January 1993 to December 2002. We test the spectral properties of C against random matrix predictions and find some agreement between the distributions of eigenvalues, nearest neighbour spacings, distributions of eigenvector components and the inverse participation ratios for eigenvectors. We show that interpolating missing or illiquid trading days with a zeroorder hold increases conformity with RMT predictions. For the more realistic estimation of correlations in an emerging market, we suggest a measureddata correlation matrix. For the data set used, this approach suggests greater temporal stability for the leading eigenvectors. An interpretation of eigenvectors in terms of trading strategies is given, as opposed to classification by economic sectors.
On the Numerical Evaluation of Distributions in Random Matrix Theory: A Review
, 2010
"... Abstract. In this paper we review and compare the numerical evaluation of those probability distributions in random matrix theory that are analytically represented in terms of Painlevé transcendents or Fredholm determinants. Concrete examples for the Gaussian and Laguerre (Wishart) βensembles and t ..."
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Cited by 6 (0 self)
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Abstract. In this paper we review and compare the numerical evaluation of those probability distributions in random matrix theory that are analytically represented in terms of Painlevé transcendents or Fredholm determinants. Concrete examples for the Gaussian and Laguerre (Wishart) βensembles and their various scaling limits are discussed. We argue that the numerical approximation of Fredholm determinants is the conceptually more simple and efficient of the two approaches, easily generalized to the computation of joint probabilities and correlations. Having the means for extensive numerical explorations at hand, we discovered new and surprising determinantal formulae for the kth largest (or smallest) level in the edge scaling limits of the Orthogonal and Symplectic Ensembles; formulae that in turn led to improved numerical evaluations. The paper comes with a toolbox of Matlab functions that facilitates further mathematical experiments by the reader.
Spacing distributions in random matrix ensembles, (in) Recent perspectives in random matrix theory and number theory
 London Math. Soc. Lecture
"... 1.1 Motivation and definitions The topic of spacing distributions in random matrix ensembles is almost as old as the introduction of random matrix theory into nuclear physics. Both events can be traced back to Wigner in the mid 1950’s [37, 38]. Thus Wigner introduced the model of a large real symmet ..."
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Cited by 4 (1 self)
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1.1 Motivation and definitions The topic of spacing distributions in random matrix ensembles is almost as old as the introduction of random matrix theory into nuclear physics. Both events can be traced back to Wigner in the mid 1950’s [37, 38]. Thus Wigner introduced the model of a large real symmetric random