High-dimensional regimes of non-stationary Gaussian correlated Wishart matrices

We study the high-dimensional asymptotic regimes of correlated Wishart matrices [Formula: see text], where [Formula: see text] is a [Formula: see text] Gaussian random matrix with correlated and non-stationary entries. We prove that under different normalizations, two distinct regimes emerge as both [Formula: see text] and [Formula: see text] grow to infinity. The first regime is the one of central convergence, where the law of the properly renormalized Wishart matrices becomes close in Wasserstein distance to that of a Gaussian orthogonal ensemble matrix. In the second regime, a non-central convergence happens, and the law of the normalized Wishart matrices becomes close in Wasserstein distance to that of the so-called Rosenblatt–Wishart matrix recently introduced by Nourdin and Zheng. We then proceed to show that the convergences stated above also hold in a functional setting, namely as weak convergence in [Formula: see text]. As an application of our main result (in the central convergence regime), we show that it can be used to prove convergence in expectation of the empirical spectral distributions of the Wishart matrices to the semicircular law. Our findings complement and extend a rich collection of results on the study of the fluctuations of Gaussian Wishart matrices, and we provide explicit examples based on Gaussian entries given by normalized increments of a bi-fractional or a sub-fractional Brownian motion.

Spectral properties of certain operators on the free Hilbert space \mathfrak{F}[H_{1},...,H_{N}] and the semicircular law

In this paper, we fix \(N\)-many \(l^2\)-Hilbert spaces \(H_k\) whose dimensions are \(n_{k} \in \mathbb{N}^{\infty}=\mathbb{N} \cup \{\infty\}\), for \(k=1,\ldots,N\), for \(N \in \mathbb{N}\setminus\{1\}\). And then, construct a Hilbert space \(\mathfrak{F}=\mathfrak{F}[H_{1},\ldots,H_{N}]\) induced by \(H_{1},\ldots,H_{N}\), and study certain types of operators on \(\mathfrak{F}\). In particular, we are interested in so-called jump-shift operators. The main results (i) characterize the spectral properties of these operators, and (ii) show how such operators affect the semicircular law induced by \(\bigcup^N_{k=1} \mathcal{B}_{k}\), where \(\mathcal{B}_{k}\) are the orthonormal bases of \(H_{k}\), for \(k=1,\ldots,N\).

Deformation of semicircular and circular laws via p-adic number fields and sampling of primes

In this paper, we study semicircular elements and circular elements in a certain Banach \(*\)-probability space \((\mathfrak{LS},\tau ^{0})\) induced by analysis on the \(p\)-adic number fields \(\mathbb{Q}_{p}\) over primes \(p\). In particular, by truncating the set \(\mathcal{P}\) of all primes for given suitable real numbers \(t\lt s\) in \(\mathbb{R}\), two different types of truncated linear functionals \(\tau_{t_{1}\lt t_{2}}\), and \(\tau_{t_{1}\lt t_{2}}^{+}\) are constructed on the Banach \(*\)-algebra \(\mathfrak{LS}\). We show how original free distributional data (with respect to \(\tau ^{0}\)) are distorted by the truncations on \(\mathcal{P}\) (with respect to \(\tau_{t\lt s}\), and \(\tau_{t\lt s}^{+}\)). As application, distorted free distributions of the semicircular law, and those of the circular law are characterized up to truncation.

Cumulants of the q-semicircular Law, Tutte Polynomials, and Heaps

The q-semicircular distribution is a probability law that interpolates between the Gaussian law and the semicircular law. There is a combinatorial interpretation of itsmoments in terms ofmatchings, where q follows the number of crossings, whereas for the free cumulants one has to restrict the enumeration to connected matchings. The purpose of this article is to describe combinatorial properties of the classical cumulants. We show that like the free cumulants, they are obtained by an enumeration of connected matchings, the weight being now an evaluation of the Tutte polynomial of a so-called crossing graph. The case q = 0 of these cumulants was studied by Lassalle using symmetric functions and hypergeometric series. We show that the underlying combinatorics is explained through the theory of heaps, which is Viennot's geometric interpretation of the Cartier–Foata monoid. This method also gives a general formula for the cumulants in terms of free cumulants.