Concentration of the Mixed Discriminant of Well-Conditioned Matrices
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Random Matrix Theory and Covariance Estimation
Introduction Random matrix theory Estimating correlations Comparison with Barra Conclusion Appendix Random Matrix Theory and Covariance Estimation Jim Gatheral New York, October 3, 2008 Introduction Random matrix theory Estimating correlations Comparison with Barra Conclusion Appendix Motivation Sophisticated optimal liquidation portfolio algorithms that balance risk against impact cost involve inverting the covariance matrix. Eigenvalues of the covariance matrix that are small (or even zero) correspond to portfolios of stocks that have nonzero returns but extremely low or vanishing risk; such portfolios are invariably related to estimation errors resulting from insuffient data. One of the approaches used to eliminate the problem of small eigenvalues in the estimated covariance matrix is the so-called random matrix technique. We would like to understand: the basis of random matrix theory. (RMT) how to apply RMT to the estimation of covariance matrices. whether the resulting covariance matrix performs better than (for example) the Barra covariance matrix. Introduction Random matrix theory Estimating correlations Comparison with Barra Conclusion Appendix Outline 1 Random matrix theory Random matrix examples Wigner’s semicircle law The Marˇcenko-Pastur density The Tracy-Widom law Impact of fat tails 2 Estimating correlations Uncertainty in correlation estimates. Example with SPX stocks A recipe for filtering the sample correlation matrix 3 Comparison with Barra Comparison of eigenvectors The minimum variance portfolio Comparison of weights In-sample and out-of-sample performance 4 Conclusions 5 Appendix with a sketch of Wigner’s original proof Introduction Random matrix theory Estimating correlations Comparison with Barra Conclusion Appendix Example 1: Normal random symmetric matrix Generate a 5,000 x 5,000 random symmetric matrix with entries aij N(0, 1). -
Rotation Matrix Sampling Scheme for Multidimensional Probability Distribution Transfer
ISPRS Annals of the Photogrammetry, Remote Sensing and Spatial Information Sciences, Volume III-7, 2016 XXIII ISPRS Congress, 12–19 July 2016, Prague, Czech Republic ROTATION MATRIX SAMPLING SCHEME FOR MULTIDIMENSIONAL PROBABILITY DISTRIBUTION TRANSFER P. Srestasathiern ∗, S. Lawawirojwong, R. Suwantong, and P. Phuthong Geo-Informatics and Space Technology Development Agency (GISTDA), Laksi, Bangkok, Thailand (panu,siam,rata,pattrawuth)@gistda.or.th Commission VII,WG VII/4 KEY WORDS: Histogram specification, Distribution transfer, Color transfer, Data Gaussianization ABSTRACT: This paper address the problem of rotation matrix sampling used for multidimensional probability distribution transfer. The distri- bution transfer has many applications in remote sensing and image processing such as color adjustment for image mosaicing, image classification, and change detection. The sampling begins with generating a set of random orthogonal matrix samples by Householder transformation technique. The advantage of using the Householder transformation for generating the set of orthogonal matrices is the uniform distribution of the orthogonal matrix samples. The obtained orthogonal matrices are then converted to proper rotation matrices. The performance of using the proposed rotation matrix sampling scheme was tested against the uniform rotation angle sampling. The applications of the proposed method were also demonstrated using two applications i.e., image to image probability distribution transfer and data Gaussianization. 1. INTRODUCTION is based on the Monge’s transport problem which is to find mini- mal displacement for mass transportation. The solution from this In remote sensing, the analysis of multi-temporal data is widely linear approach can be used as initial solution for non-linear prob- used in many applications such as urban expansion monitoring, ability distribution transfer methods. -
The Distribution of Eigenvalues of Randomized Permutation Matrices Tome 63, No 3 (2013), P
R AN IE N R A U L E O S F D T E U L T I ’ I T N S ANNALES DE L’INSTITUT FOURIER Joseph NAJNUDEL & Ashkan NIKEGHBALI The distribution of eigenvalues of randomized permutation matrices Tome 63, no 3 (2013), p. 773-838. <http://aif.cedram.org/item?id=AIF_2013__63_3_773_0> © Association des Annales de l’institut Fourier, 2013, tous droits réservés. L’accès aux articles de la revue « Annales de l’institut Fourier » (http://aif.cedram.org/), implique l’accord avec les conditions générales d’utilisation (http://aif.cedram.org/legal/). Toute re- production en tout ou partie de cet article sous quelque forme que ce soit pour tout usage autre que l’utilisation à fin strictement per- sonnelle du copiste est constitutive d’une infraction pénale. Toute copie ou impression de ce fichier doit contenir la présente mention de copyright. cedram Article mis en ligne dans le cadre du Centre de diffusion des revues académiques de mathématiques http://www.cedram.org/ Ann. Inst. Fourier, Grenoble 63, 3 (2013) 773-838 THE DISTRIBUTION OF EIGENVALUES OF RANDOMIZED PERMUTATION MATRICES by Joseph NAJNUDEL & Ashkan NIKEGHBALI Abstract. — In this article we study in detail a family of random matrix ensembles which are obtained from random permutations matrices (chosen at ran- dom according to the Ewens measure of parameter θ > 0) by replacing the entries equal to one by more general non-vanishing complex random variables. For these ensembles, in contrast with more classical models as the Gaussian Unitary En- semble, or the Circular Unitary Ensemble, the eigenvalues can be very explicitly computed by using the cycle structure of the permutations. -
QUADRATIC FORMS and DEFINITE MATRICES 1.1. Definition of A
QUADRATIC FORMS AND DEFINITE MATRICES 1. DEFINITION AND CLASSIFICATION OF QUADRATIC FORMS 1.1. Definition of a quadratic form. Let A denote an n x n symmetric matrix with real entries and let x denote an n x 1 column vector. Then Q = x’Ax is said to be a quadratic form. Note that a11 ··· a1n . x1 Q = x´Ax =(x1...xn) . xn an1 ··· ann P a1ixi . =(x1,x2, ··· ,xn) . P anixi 2 (1) = a11x1 + a12x1x2 + ... + a1nx1xn 2 + a21x2x1 + a22x2 + ... + a2nx2xn + ... + ... + ... 2 + an1xnx1 + an2xnx2 + ... + annxn = Pi ≤ j aij xi xj For example, consider the matrix 12 A = 21 and the vector x. Q is given by 0 12x1 Q = x Ax =[x1 x2] 21 x2 x1 =[x1 +2x2 2 x1 + x2 ] x2 2 2 = x1 +2x1 x2 +2x1 x2 + x2 2 2 = x1 +4x1 x2 + x2 1.2. Classification of the quadratic form Q = x0Ax: A quadratic form is said to be: a: negative definite: Q<0 when x =06 b: negative semidefinite: Q ≤ 0 for all x and Q =0for some x =06 c: positive definite: Q>0 when x =06 d: positive semidefinite: Q ≥ 0 for all x and Q = 0 for some x =06 e: indefinite: Q>0 for some x and Q<0 for some other x Date: September 14, 2004. 1 2 QUADRATIC FORMS AND DEFINITE MATRICES Consider as an example the 3x3 diagonal matrix D below and a general 3 element vector x. 100 D = 020 004 The general quadratic form is given by 100 x1 0 Q = x Ax =[x1 x2 x3] 020 x2 004 x3 x1 =[x 2 x 4 x ] x2 1 2 3 x3 2 2 2 = x1 +2x2 +4x3 Note that for any real vector x =06 , that Q will be positive, because the square of any number is positive, the coefficients of the squared terms are positive and the sum of positive numbers is always positive. -
New Results on the Spectral Density of Random Matrices
New Results on the Spectral Density of Random Matrices Timothy Rogers Department of Mathematics, King’s College London, July 2010 A thesis submitted for the degree of Doctor of Philosophy: Applied Mathematics Abstract This thesis presents some new results and novel techniques in the studyof thespectral density of random matrices. Spectral density is a central object of interest in random matrix theory, capturing the large-scale statistical behaviour of eigenvalues of random matrices. For certain ran- dom matrix ensembles the spectral density will converge, as the matrix dimension grows, to a well-known limit. Examples of this include Wigner’s famous semi-circle law and Girko’s elliptic law. Apart from these, and a few other cases, little else is known. Two factors in particular can complicate the analysis enormously - the intro- duction of sparsity (that is, many entries being zero) and the breaking of Hermitian symmetry. The results presented in this thesis extend the class of random matrix en- sembles for which the limiting spectral density can be computed to include various sparse and non-Hermitian ensembles. Sparse random matrices are studied through a mathematical analogy with statistical mechanics. Employing the cavity method, a technique from the field of disordered systems, a system of equations is derived which characterises the spectral density of a given sparse matrix. Analytical and numerical solutions to these equations are ex- plored, as well as the ensemble average for various sparse random matrix ensembles. For the case of non-Hermitian random matrices, a result is presented giving a method 1 for exactly calculating the spectral density of matrices under a particular type of per- turbation. -
Random Rotation Ensembles
Journal of Machine Learning Research 2 (2015) 1-15 Submitted 03/15; Published ??/15 Random Rotation Ensembles Rico Blaser ([email protected]) Piotr Fryzlewicz ([email protected]) Department of Statistics London School of Economics Houghton Street London, WC2A 2AE, UK Editor: TBD Abstract In machine learning, ensemble methods combine the predictions of multiple base learners to construct more accurate aggregate predictions. Established supervised learning algo- rithms inject randomness into the construction of the individual base learners in an effort to promote diversity within the resulting ensembles. An undesirable side effect of this ap- proach is that it generally also reduces the accuracy of the base learners. In this paper, we introduce a method that is simple to implement yet general and effective in improv- ing ensemble diversity with only modest impact on the accuracy of the individual base learners. By randomly rotating the feature space prior to inducing the base learners, we achieve favorable aggregate predictions on standard data sets compared to state of the art ensemble methods, most notably for tree-based ensembles, which are particularly sensitive to rotation. Keywords: Feature Rotation, Ensemble Diversity, Smooth Decision Boundary 1. Introduction Modern statistical learning algorithms combine the predictions of multiple base learners to form ensembles, which typically achieve better aggregate predictive performance than the individual base learners (Rokach, 2010). This approach has proven to be effective in practice and some ensemble methods rank among the most accurate general-purpose supervised learning algorithms currently available. For example, a large-scale empirical study (Caruana and Niculescu-Mizil, 2006) of supervised learning algorithms found that decision tree ensembles consistently outperformed traditional single-predictor models on a representative set of binary classification tasks. -
8.3 Positive Definite Matrices
8.3. Positive Definite Matrices 433 Exercise 8.2.25 Show that every 2 2 orthog- [Hint: If a2 + b2 = 1, then a = cos θ and b = sinθ for × cos θ sinθ some angle θ.] onal matrix has the form − or sinθ cosθ cos θ sin θ Exercise 8.2.26 Use Theorem 8.2.5 to show that every for some angle θ. sinθ cosθ symmetric matrix is orthogonally diagonalizable. − 8.3 Positive Definite Matrices All the eigenvalues of any symmetric matrix are real; this section is about the case in which the eigenvalues are positive. These matrices, which arise whenever optimization (maximum and minimum) problems are encountered, have countless applications throughout science and engineering. They also arise in statistics (for example, in factor analysis used in the social sciences) and in geometry (see Section 8.9). We will encounter them again in Chapter 10 when describing all inner products in Rn. Definition 8.5 Positive Definite Matrices A square matrix is called positive definite if it is symmetric and all its eigenvalues λ are positive, that is λ > 0. Because these matrices are symmetric, the principal axes theorem plays a central role in the theory. Theorem 8.3.1 If A is positive definite, then it is invertible and det A > 0. Proof. If A is n n and the eigenvalues are λ1, λ2, ..., λn, then det A = λ1λ2 λn > 0 by the principal axes theorem (or× the corollary to Theorem 8.2.5). ··· If x is a column in Rn and A is any real n n matrix, we view the 1 1 matrix xT Ax as a real number. -
Moments of Random Matrices and Hypergeometric Orthogonal Polynomials
Commun. Math. Phys. 369, 1091–1145 (2019) Communications in Digital Object Identifier (DOI) https://doi.org/10.1007/s00220-019-03323-9 Mathematical Physics Moments of Random Matrices and Hypergeometric Orthogonal Polynomials Fabio Deelan Cunden1,FrancescoMezzadri2,NeilO’Connell1 , Nick Simm3 1 School of Mathematics and Statistics, University College Dublin, Belfield, Dublin 4, Ireland. E-mail: [email protected] 2 School of Mathematics, University of Bristol, University Walk, Bristol, BS8 1TW, UK 3 Mathematics Department, University of Sussex, Brighton, BN1 9RH, UK Received: 9 June 2018 / Accepted: 10 November 2018 Published online: 6 February 2019 – © The Author(s) 2019 Abstract: We establish a new connection between moments of n n random matri- × ces Xn and hypergeometric orthogonal polynomials. Specifically, we consider moments s E Tr Xn− as a function of the complex variable s C, whose analytic structure we describe completely. We discover several remarkable∈ features, including a reflection symmetry (or functional equation), zeros on a critical line in the complex plane, and orthogonality relations. An application of the theory resolves part of an integrality con- jecture of Cunden et al. (J Math Phys 57:111901, 2016)onthetime-delaymatrixof chaotic cavities. In each of the classical ensembles of random matrix theory (Gaus- sian, Laguerre, Jacobi) we characterise the moments in terms of the Askey scheme of hypergeometric orthogonal polynomials. We also calculate the leading order n asymptotics of the moments and discuss their symmetries and zeroes. We discuss aspects→∞ of these phenomena beyond the random matrix setting, including the Mellin transform of products and Wronskians of pairs of classical orthogonal polynomials. -
Inner Products and Norms (Part III)
Inner Products and Norms (part III) Prof. Dan A. Simovici UMB 1 / 74 Outline 1 Approximating Subspaces 2 Gram Matrices 3 The Gram-Schmidt Orthogonalization Algorithm 4 QR Decomposition of Matrices 5 Gram-Schmidt Algorithm in R 2 / 74 Approximating Subspaces Definition A subspace T of a inner product linear space is an approximating subspace if for every x 2 L there is a unique element in T that is closest to x. Theorem Let T be a subspace in the inner product space L. If x 2 L and t 2 T , then x − t 2 T ? if and only if t is the unique element of T closest to x. 3 / 74 Approximating Subspaces Proof Suppose that x − t 2 T ?. Then, for any u 2 T we have k x − u k2=k (x − t) + (t − u) k2=k x − t k2 + k t − u k2; by observing that x − t 2 T ? and t − u 2 T and applying Pythagora's 2 2 Theorem to x − t and t − u. Therefore, we have k x − u k >k x − t k , so t is the unique element of T closest to x. 4 / 74 Approximating Subspaces Proof (cont'd) Conversely, suppose that t is the unique element of T closest to x and x − t 62 T ?, that is, there exists u 2 T such that (x − t; u) 6= 0. This implies, of course, that u 6= 0L. We have k x − (t + au) k2=k x − t − au k2=k x − t k2 −2(x − t; au) + jaj2 k u k2 : 2 2 Since k x − (t + au) k >k x − t k (by the definition of t), we have 2 2 1 −2(x − t; au) + jaj k u k > 0 for every a 2 F. -
"Integrable Systems, Random Matrices and Random Processes"
Contents Integrable Systems, Random Matrices and Random Processes Mark Adler ..................................................... 1 1 Matrix Integrals and Solitons . 4 1.1 Random matrix ensembles . 4 1.2 Large n–limits . 7 1.3 KP hierarchy . 9 1.4 Vertex operators, soliton formulas and Fredholm determinants . 11 1.5 Virasoro relations satisfied by the Fredholm determinant . 14 1.6 Differential equations for the probability in scaling limits . 16 2 Recursion Relations for Unitary Integrals . 21 2.1 Results concerning unitary integrals . 21 2.2 Examples from combinatorics . 25 2.3 Bi-orthogonal polynomials on the circle and the Toeplitz lattice 28 2.4 Virasoro constraints and difference relations . 30 2.5 Singularity confinement of recursion relations . 33 3 Coupled Random Matrices and the 2–Toda Lattice . 37 3.1 Main results for coupled random matrices . 37 3.2 Link with the 2–Toda hierarchy . 39 3.3 L U decomposition of the moment matrix, bi-orthogonal polynomials and 2–Toda wave operators . 41 3.4 Bilinear identities and τ-function PDE’s . 44 3.5 Virasoro constraints for the τ-functions . 47 3.6 Consequences of the Virasoro relations . 49 3.7 Final equations . 51 4 Dyson Brownian Motion and the Airy Process . 53 4.1 Processes . 53 4.2 PDE’s and asymptotics for the processes . 59 4.3 Proof of the results . 62 5 The Pearcey Distribution . 70 5.1 GUE with an external source and Brownian motion . 70 5.2 MOPS and a Riemann–Hilbert problem . 73 VI Contents 5.3 Results concerning universal behavior . 75 5.4 3-KP deformation of the random matrix problem . -
Computing the Jordan Structure of an Eigenvalue∗
SIAM J. MATRIX ANAL.APPL. c 2017 Society for Industrial and Applied Mathematics Vol. 38, No. 3, pp. 949{966 COMPUTING THE JORDAN STRUCTURE OF AN EIGENVALUE∗ NICOLA MASTRONARDIy AND PAUL VAN DOORENz Abstract. In this paper we revisit the problem of finding an orthogonal similarity transformation that puts an n × n matrix A in a block upper-triangular form that reveals its Jordan structure at a particular eigenvalue λ0. The obtained form in fact reveals the dimensions of the null spaces of i (A − λ0I) at that eigenvalue via the sizes of the leading diagonal blocks, and from this the Jordan structure at λ0 is then easily recovered. The method starts from a Hessenberg form that already reveals several properties of the Jordan structure of A. It then updates the Hessenberg form in an efficient way to transform it to a block-triangular form in O(mn2) floating point operations, where m is the total multiplicity of the eigenvalue. The method only uses orthogonal transformations and is backward stable. We illustrate the method with a number of numerical examples. Key words. Jordan structure, staircase form, Hessenberg form AMS subject classifications. 65F15, 65F25 DOI. 10.1137/16M1083098 1. Introduction. Finding the eigenvalues and their corresponding Jordan struc- ture of a matrix A is one of the most studied problems in numerical linear algebra. This structure plays an important role in the solution of explicit differential equations, which can be modeled as n×n (1.1) λx(t) = Ax(t); x(0) = x0;A 2 R ; where λ stands for the differential operator. -
Cycle Indices for Finite Orthogonal Groups of Even Characteristic
TRANSACTIONS OF THE AMERICAN MATHEMATICAL SOCIETY Volume 364, Number 5, May 2012, Pages 2539–2566 S 0002-9947(2012)05406-7 Article electronically published on January 6, 2012 CYCLE INDICES FOR FINITE ORTHOGONAL GROUPS OF EVEN CHARACTERISTIC JASON FULMAN, JAN SAXL, AND PHAM HUU TIEP Dedicated to Peter M. Neumann on the occasion of his seventieth birthday Abstract. We develop cycle index generating functions for orthogonal groups in even characteristic and give some enumerative applications. A key step is the determination of the values of the complex linear-Weil characters of the finite symplectic group, and their induction to the general linear group, at unipotent elements. We also define and study several natural probability measures on integer partitions. 1. Introduction P´olya [34], in a landmark paper on combinatorics (see [35] for an English trans- lation), introduced the cycle index of the symmetric groups. This can be written z as follows. Let ai(π)bethenumberof i-cycles of π. The Taylor expansion of e ai and the fact that there are n!/ i(ai!i )elementsofSn with ai i-cycles yield the following theorem. Theorem 1.1 (P´olya [34]). ∞ ∞ n m u a (π) xmu 1+ x i = e m . n! i n=1 π∈Sn i m=1 The P´olya cycle index has been a key tool in understanding what a typical per- mutation π ∈ Sn “looks like”. It is useful for studying properties of a permutation which depend only on its cycle structure. Here are a few examples of theorems which can be proved using the cycle index.