Smallest Eigenvalue

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Jack H Koolen - One of the best experts on this subject based on the ideXlab platform.

Tim Wirtz - One of the best experts on this subject based on the ideXlab platform.

  • the Smallest Eigenvalue distribution in the real wishart laguerre ensemble with even topology
    arXiv: Mathematical Physics, 2015
    Co-Authors: Tim Wirtz, Thomas Guhr, Gernot Akemann, Mario Kieburg, R Wegner
    Abstract:

    We consider rectangular random matrices of size $p\times n$ belonging to the real Wishart-Laguerre ensemble also known as the chiral Gaussian orthogonal ensemble. This ensemble appears in many applications like QCD, mesoscopic physics, and time series analysis. We are particularly interested in the distribution of the Smallest non-zero Eigenvalue and the gap probability to find no Eigenvalue in an interval $[0,t]$. While for odd topology $\nu=n-p$ explicit closed results are known for finite and infinite matrix size, for even $\nu>2$ only recursive expressions in $p$ are available.The Smallest Eigenvalue distribution as well as the gap probability for general even $\nu$ is equivalent to expectation values of characteristic polynomials raised to a half-integer. The computation of such averages is done via a combination of skew-orthogonal polynomials and bosonisation methods. The results are given in terms of Pfaffian determinants both at finite $p$ and in the hard edge scaling limit ($p\to\infty$ and $\nu$ fixed) for an arbitrary even topology $\nu$. Numerical simulations for the correlated Wishart ensemble illustrate the universality of our results in this particular limit. These simulations point to a validity of the hard edge scaling limit beyond the invariant case.

  • completing the picture for the Smallest Eigenvalue of real wishart matrices
    Physical Review Letters, 2014
    Co-Authors: Gernot Akemann, Thomas Guhr, Mario Kieburg, R Wegner, Tim Wirtz
    Abstract:

    Rectangular real $N\ifmmode\times\else\texttimes\fi{}(N+\ensuremath{\nu})$ matrices $W$ with a Gaussian distribution appear very frequently in data analysis, condensed matter physics, and quantum field theory. A central question concerns the correlations encoded in the spectral statistics of $W{W}^{T}$. The extreme Eigenvalues of $W{W}^{T}$ are of particular interest. We explicitly compute the distribution and the gap probability of the Smallest nonzero Eigenvalue in this ensemble, both for arbitrary fixed $N$ and $\ensuremath{\nu}$, and in the universal large $N$ limit with $\ensuremath{\nu}$ fixed. We uncover an integrable Pfaffian structure valid for all even values of $\ensuremath{\nu}\ensuremath{\ge}0$. This extends previous results for odd $\ensuremath{\nu}$ at infinite $N$ and recursive results for finite $N$ and for all $\ensuremath{\nu}$. Our mathematical results include the computation of expectation values of half-integer powers of characteristic polynomials.

  • distribution of the Smallest Eigenvalue in complex and real correlated wishart ensembles
    Journal of Physics A, 2014
    Co-Authors: Tim Wirtz, Thomas Guhr
    Abstract:

    For the correlated Gaussian–Wishart ensemble we compute the distribution of the Smallest Eigenvalue and a related gap probability. We obtain exact results for the complex (β = 2) and for the real case (β = 1). For a particular set of empirical correlation matrices we find universality in the spectral density, for both real and complex ensembles and all kinds of rectangularity. We calculate the asymptotic and universal results for the gap probability and the distribution of the Smallest Eigenvalue. We use the supersymmetry method, in particular the generalized Hubbard–Stratonovich transformation and superbosonization.

  • distribution of the Smallest Eigenvalue in complex and real correlated wishart ensembles
    arXiv: Mathematical Physics, 2013
    Co-Authors: Tim Wirtz, Thomas Guhr
    Abstract:

    For the correlated Gaussian Wishart ensemble we compute the distribution of the Smallest Eigenvalue and a related gap probability.We obtain exact results for the complex (\beta=2) and for the real case (\beta=1). For a particular set of empirical correlation matrices we find universality in the spectral density, for both real and complex ensembles and all kinds of rectangularity. We calculate the asymptotic and universal results for the gap probability and the distribution of the Smallest Eigenvalue. We use the Supersymmetry method, in particular the generalized Hubbard-Stratonovich transformation and superbosonization.

  • distribution of the Smallest Eigenvalue in the correlated wishart model
    Physical Review Letters, 2013
    Co-Authors: Tim Wirtz, Thomas Guhr
    Abstract:

    Wishart random matrix theory is of major importance for the analysis of correlated time series. The distribution of the Smallest Eigenvalue for Wishart correlation matrices is particularly interesting in many applications. In the complex and in the real case, we calculate it exactly for arbitrary empirical Eigenvalues, i.e., for fully correlated Gaussian Wishart ensembles. To this end, we derive certain dualities of matrix models in ordinary space. We thereby completely avoid the otherwise unsurmountable problem of computing a highly nontrivial group integral. Our results are compact and much easier to handle than previous ones. Furthermore, we obtain a new universality for the distribution of the Smallest Eigenvalue on the proper local scale.

Thomas Guhr - One of the best experts on this subject based on the ideXlab platform.

  • the Smallest Eigenvalue distribution in the real wishart laguerre ensemble with even topology
    arXiv: Mathematical Physics, 2015
    Co-Authors: Tim Wirtz, Thomas Guhr, Gernot Akemann, Mario Kieburg, R Wegner
    Abstract:

    We consider rectangular random matrices of size $p\times n$ belonging to the real Wishart-Laguerre ensemble also known as the chiral Gaussian orthogonal ensemble. This ensemble appears in many applications like QCD, mesoscopic physics, and time series analysis. We are particularly interested in the distribution of the Smallest non-zero Eigenvalue and the gap probability to find no Eigenvalue in an interval $[0,t]$. While for odd topology $\nu=n-p$ explicit closed results are known for finite and infinite matrix size, for even $\nu>2$ only recursive expressions in $p$ are available.The Smallest Eigenvalue distribution as well as the gap probability for general even $\nu$ is equivalent to expectation values of characteristic polynomials raised to a half-integer. The computation of such averages is done via a combination of skew-orthogonal polynomials and bosonisation methods. The results are given in terms of Pfaffian determinants both at finite $p$ and in the hard edge scaling limit ($p\to\infty$ and $\nu$ fixed) for an arbitrary even topology $\nu$. Numerical simulations for the correlated Wishart ensemble illustrate the universality of our results in this particular limit. These simulations point to a validity of the hard edge scaling limit beyond the invariant case.

  • completing the picture for the Smallest Eigenvalue of real wishart matrices
    Physical Review Letters, 2014
    Co-Authors: Gernot Akemann, Thomas Guhr, Mario Kieburg, R Wegner, Tim Wirtz
    Abstract:

    Rectangular real $N\ifmmode\times\else\texttimes\fi{}(N+\ensuremath{\nu})$ matrices $W$ with a Gaussian distribution appear very frequently in data analysis, condensed matter physics, and quantum field theory. A central question concerns the correlations encoded in the spectral statistics of $W{W}^{T}$. The extreme Eigenvalues of $W{W}^{T}$ are of particular interest. We explicitly compute the distribution and the gap probability of the Smallest nonzero Eigenvalue in this ensemble, both for arbitrary fixed $N$ and $\ensuremath{\nu}$, and in the universal large $N$ limit with $\ensuremath{\nu}$ fixed. We uncover an integrable Pfaffian structure valid for all even values of $\ensuremath{\nu}\ensuremath{\ge}0$. This extends previous results for odd $\ensuremath{\nu}$ at infinite $N$ and recursive results for finite $N$ and for all $\ensuremath{\nu}$. Our mathematical results include the computation of expectation values of half-integer powers of characteristic polynomials.

  • distribution of the Smallest Eigenvalue in complex and real correlated wishart ensembles
    Journal of Physics A, 2014
    Co-Authors: Tim Wirtz, Thomas Guhr
    Abstract:

    For the correlated Gaussian–Wishart ensemble we compute the distribution of the Smallest Eigenvalue and a related gap probability. We obtain exact results for the complex (β = 2) and for the real case (β = 1). For a particular set of empirical correlation matrices we find universality in the spectral density, for both real and complex ensembles and all kinds of rectangularity. We calculate the asymptotic and universal results for the gap probability and the distribution of the Smallest Eigenvalue. We use the supersymmetry method, in particular the generalized Hubbard–Stratonovich transformation and superbosonization.

  • distribution of the Smallest Eigenvalue in complex and real correlated wishart ensembles
    arXiv: Mathematical Physics, 2013
    Co-Authors: Tim Wirtz, Thomas Guhr
    Abstract:

    For the correlated Gaussian Wishart ensemble we compute the distribution of the Smallest Eigenvalue and a related gap probability.We obtain exact results for the complex (\beta=2) and for the real case (\beta=1). For a particular set of empirical correlation matrices we find universality in the spectral density, for both real and complex ensembles and all kinds of rectangularity. We calculate the asymptotic and universal results for the gap probability and the distribution of the Smallest Eigenvalue. We use the Supersymmetry method, in particular the generalized Hubbard-Stratonovich transformation and superbosonization.

  • distribution of the Smallest Eigenvalue in the correlated wishart model
    Physical Review Letters, 2013
    Co-Authors: Tim Wirtz, Thomas Guhr
    Abstract:

    Wishart random matrix theory is of major importance for the analysis of correlated time series. The distribution of the Smallest Eigenvalue for Wishart correlation matrices is particularly interesting in many applications. In the complex and in the real case, we calculate it exactly for arbitrary empirical Eigenvalues, i.e., for fully correlated Gaussian Wishart ensembles. To this end, we derive certain dualities of matrix models in ordinary space. We thereby completely avoid the otherwise unsurmountable problem of computing a highly nontrivial group integral. Our results are compact and much easier to handle than previous ones. Furthermore, we obtain a new universality for the distribution of the Smallest Eigenvalue on the proper local scale.

Monique Barel - One of the best experts on this subject based on the ideXlab platform.

Gernot Akemann - One of the best experts on this subject based on the ideXlab platform.

  • the Smallest Eigenvalue distribution in the real wishart laguerre ensemble with even topology
    arXiv: Mathematical Physics, 2015
    Co-Authors: Tim Wirtz, Thomas Guhr, Gernot Akemann, Mario Kieburg, R Wegner
    Abstract:

    We consider rectangular random matrices of size $p\times n$ belonging to the real Wishart-Laguerre ensemble also known as the chiral Gaussian orthogonal ensemble. This ensemble appears in many applications like QCD, mesoscopic physics, and time series analysis. We are particularly interested in the distribution of the Smallest non-zero Eigenvalue and the gap probability to find no Eigenvalue in an interval $[0,t]$. While for odd topology $\nu=n-p$ explicit closed results are known for finite and infinite matrix size, for even $\nu>2$ only recursive expressions in $p$ are available.The Smallest Eigenvalue distribution as well as the gap probability for general even $\nu$ is equivalent to expectation values of characteristic polynomials raised to a half-integer. The computation of such averages is done via a combination of skew-orthogonal polynomials and bosonisation methods. The results are given in terms of Pfaffian determinants both at finite $p$ and in the hard edge scaling limit ($p\to\infty$ and $\nu$ fixed) for an arbitrary even topology $\nu$. Numerical simulations for the correlated Wishart ensemble illustrate the universality of our results in this particular limit. These simulations point to a validity of the hard edge scaling limit beyond the invariant case.

  • completing the picture for the Smallest Eigenvalue of real wishart matrices
    Physical Review Letters, 2014
    Co-Authors: Gernot Akemann, Thomas Guhr, Mario Kieburg, R Wegner, Tim Wirtz
    Abstract:

    Rectangular real $N\ifmmode\times\else\texttimes\fi{}(N+\ensuremath{\nu})$ matrices $W$ with a Gaussian distribution appear very frequently in data analysis, condensed matter physics, and quantum field theory. A central question concerns the correlations encoded in the spectral statistics of $W{W}^{T}$. The extreme Eigenvalues of $W{W}^{T}$ are of particular interest. We explicitly compute the distribution and the gap probability of the Smallest nonzero Eigenvalue in this ensemble, both for arbitrary fixed $N$ and $\ensuremath{\nu}$, and in the universal large $N$ limit with $\ensuremath{\nu}$ fixed. We uncover an integrable Pfaffian structure valid for all even values of $\ensuremath{\nu}\ensuremath{\ge}0$. This extends previous results for odd $\ensuremath{\nu}$ at infinite $N$ and recursive results for finite $N$ and for all $\ensuremath{\nu}$. Our mathematical results include the computation of expectation values of half-integer powers of characteristic polynomials.

  • compact Smallest Eigenvalue expressions in wishart laguerre ensembles with or without a fixed trace
    Journal of Statistical Mechanics: Theory and Experiment, 2011
    Co-Authors: Gernot Akemann, Pierpaolo Vivo
    Abstract:

    The degree of entanglement of random pure states in bipartite quantum systems can be estimated from the distribution of the extreme Schmidt Eigenvalues. For a bipartition of size M ≥ N, these are distributed according to a Wishart–Laguerre ensemble (WL) of random matrices of size N × M, with a fixed-trace constraint. We first compute the distribution and moments of the Smallest Eigenvalue in the fixed-trace orthogonal WL ensemble for arbitrary M ≥ N. Our method is based on a Laplace inversion of the recursive results for the corresponding orthogonal WL ensemble given by Edelman. Explicit examples are given for fixed N and M, generalizing and simplifying earlier results. In the microscopic large N limit with M − N fixed, the orthogonal and unitary WL distributions exhibit universality after a suitable rescaling and are therefore independent of the constraint. We prove that very recent results given in terms of hypergeometric functions of matrix argument are equivalent to more explicit expressions in terms of a Pfaffian or determinant of Bessel functions. While the latter were mostly known from the random matrix literature on the QCD Dirac operator spectrum, we also derive some new results in the orthogonal symmetry class.

  • compact Smallest Eigenvalue expressions in wishart laguerre ensembles with or without fixed trace
    arXiv: Mathematical Physics, 2011
    Co-Authors: Gernot Akemann, Pierpaolo Vivo
    Abstract:

    The degree of entanglement of random pure states in bipartite quantum systems can be estimated from the distribution of the extreme Schmidt Eigenvalues. For a bipartition of size M\geq N, these are distributed according to a Wishart-Laguerre ensemble (WL) of random matrices of size N x M, with a fixed-trace constraint. We first compute the distribution and moments of the Smallest Eigenvalue in the fixed trace orthogonal WL ensemble for arbitrary M\geq N. Our method is based on a Laplace inversion of the recursive results for the corresponding orthogonal WL ensemble by Edelman. Explicit examples are given for fixed N and M, generalizing and simplifying earlier results. In the microscopic large-N limit with M-N fixed, the orthogonal and unitary WL distributions exhibit universality after a suitable rescaling and are therefore independent of the constraint. We prove that very recent results given in terms of hypergeometric functions of matrix argument are equivalent to more explicit expressions in terms of a Pfaffian or determinant of Bessel functions. While the latter were mostly known from the random matrix literature on the QCD Dirac operator spectrum, we also derive some new results in the orthogonal symmetry class.